Separating True IBNR and IBNER Claims

Abstract

A simple model for IBNR claims is presented. Estimates for the loss reserves and for the ultimate claims rate are derived. Approximations to the mean square error of the estimators are produced. A more specific parametric model is suggested for the case that we deal with claim numbers instead of claim amounts. The general method is illustrated by a practical application to the pricing of a casualty excess of loss cover.