2024 Webinar - Estimating Pure IBNR Counts Using Policy Level Information - September 19
In this session we will discuss the modeling method described in the Variance Journal article titled “Policy-Level Unreported Frequency Model for Pure IBNR Estimation.” Recently, there has been increased interest in using individual claim detail to estimate reserves and to understand variability around reserve estimates. The method we describe can aid in the estimation/simulation of pure incurred but not reported (IBNR) from individual claim and policy data. In addition to a point estimate, the method can provide a full distribution of claim emergence, which can be useful for diagnostic tests (i.e., actual versus expected analyses) and to understand reserve variability.
Learning Objectives:
1. Fit a policy level frequency distribution using undeveloped claim count data and use that distribution to simulate pure IBNR claim counts.
2. Adjust policy level frequency distributions for non-homogeneous exposure bases using the concept of a frequency exposure.
3. Fit a report lag distribution using truncated claim count data and identifying which distribution is appropriate for a particular dataset.
2. Adjust policy level frequency distributions for non-homogeneous exposure bases using the concept of a frequency exposure.
3. Fit a report lag distribution using truncated claim count data and identifying which distribution is appropriate for a particular dataset.
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