A Simple Multi-State Gamma Claims Reserving Model
Werner Hürlimann · 2015
We construct a simple parametric multi-state gamma distributed aggregate claims reserving model. It is based on the multi-state claims number reserving model by Orr [9], and adds the simplest possible modelling of the claims size process. Predictive power and advantages of the new model are discussed and illustrated. Mathematics Subject Classification: 62P05, 60J28, 91B70