Title: A time change strategy to model reporting delay dynamics inclaims reserving
Authors: Jonas Crevecoeur - KU Leuven (Belgium) [presenting]
Katrien Antonio - University of Amsterdam and KU Leuven (Belgium)
Roel Verbelen - KU Leuven (Belgium)
Abstract: Holding sufficient capital is essential for an insurance company to ensure its solvability. Hence, predicting the amount of capital needed to fulfil liabilities with respect to past exposure years in a stable and accurate way, is an important actuarial task. Recent research puts focus on the use of detailed information regarding the development of individual claims. This is called the micro-level or granular reserving approach. Reserve calculations are required for both claims that are not yet settled as well as for claims that have already occurred in past exposure years, but which have not yet been reported to the insurer. We focus on estimating the count of these latter claims, by modeling the time between occurrence and reporting of claims, the so-called reporting delay. Using data at daily level we propose a micro-level model for the heterogeneity in reporting delay caused by calendar day effects, such as the weekday pattern and holidays. Previous work on delay features is extended. These methods are illustrated by case studies using multiple real life insurance datasets.