Hostname: page-component-cb9f654ff-kl2l2 Total loading time: 0 Render date: 2025-08-21T23:36:42.026Z Has data issue: false hasContentIssue false
  • English
  • Français

An invariance principle for the analysis of non-life insurance claims

Published online by Cambridge University Press:  20 April 2012

G. C. Taylor
Get access Rights & Permissions [Opens in a new window]

Summary

The paper is concerned initially with the admissibility of particular claim payment models. Admissibility is restricted by the requirement that, if claims escalation is excluded, the amount of outstanding claims at any epoch of development of a generation of claims should be independent of the future speed of finalization.

This simple requirement represents an invariance condition. The problem of admissibility of models can therefore be approached in the manner of invariance problems in physics. Standard techniques of variational calculus are used.

Information

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 110 , Issue 1 , June 1983 , pp. 205 - 242
Copyright
Copyright © Institute and Faculty of Actuaries 1983

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

Anderssen, R.S. & Hoog, F. R. (eds), (1981). Application of mathematics in industry. Martinus Nijhoff Publishers. Proceedings of a seminar organized by the Division of Mathematics and Statistics, C.S.I.R.O. and Pure and Applied Mathematics, The Faculties, Australian National University, Canberra, 3 December 1980.Google Scholar
Cumpston, J. R. (1976). Payments per unit of risk claims models. General Insurance Bulletin 1, 8.Google Scholar
Gelfand, I. M. & Fomin, S. V. (1963). Calculus of variations. Prentice-Hall, Inc.Google Scholar
Huber, P.J. (1977). Robust statistical procedures. Society of Industrial and Applied Mathematics.Google Scholar
Mosteller, F. & Tukey, J. W. (1977). Data analysis and regression. Addison-Wesley Publishing Company.Google Scholar
Reid, D. H. (1978). Claim reserves in general insurance. Journal of the Institute of Actuaries 105, 211.CrossRefGoogle Scholar
Sawkins, R. W. (1979a). Analysis of claim run off data—a broad view. Institute of Actuaries of Australia General Insurance Seminar 1, Thredbo, December 1978, 1, 30.Google Scholar
Sawkins, R. W. (1979b). Methods of analysing claim payments in general insurance. Transactions of the Institute of Actuaries of Australia, 435.Google Scholar
Sever, G. A. F. (1977). Linear regression analysis. John Wiley and Sons, Inc.Google Scholar
Taylor, G. C. (1981a). Application of actuarial techniques to non-life insurance: establishment of provisions for outstanding claims. Appears in Anderssen and de Hoog (1981), 87.CrossRefGoogle Scholar
Taylor, G. C. (1981b). Speed of finalization of claims and claims runoff analysis. Astin Bulletin, 12, 81. Paper presented to XVth Astin Colloquium, Norway, June 1981.CrossRefGoogle Scholar
Taylor, G. C. (1981c). A Reduced Reid method of estimation of outstanding claims. Institute of Actuaries of Australia General Insurance Seminar 2 (Proceedings of the Broadbeach seminar, November 1980), 263.Google Scholar
Taylor, G. C. (1982). Zehnwirth's criticism of the see-saw method: a reply. Insurance: mathematics and economics 1, 105.Google Scholar
Taylor, G. C. & Ashe, F. R. (1982). Second moments of estimates of outstanding claims. Journal of Econometrics (to appear). Paper presented to the XVth Astin Colloquium, Liege, Belgium, September 1982.Google Scholar
Zehnwirth, B. (1982). Comments on Taylor's see-saw approach to claims reserving. Insurance: mathematics and economics 1, 99.Google Scholar