{"id":4083,"date":"2020-03-05T12:20:24","date_gmt":"2020-03-05T12:20:24","guid":{"rendered":"https:\/\/detralytics.com\/?p=4083"},"modified":"2026-06-22T14:51:23","modified_gmt":"2026-06-22T14:51:23","slug":"semi-markov-multistate-individual-loss-reserving-model-in-general-insurance","status":"publish","type":"post","link":"https:\/\/detralytics.com\/en\/publications\/semi-markov-multistate-individual-loss-reserving-model-in-general-insurance\/","title":{"rendered":"Semi-markov multistate individual loss reserving model in general insurance"},"content":{"rendered":"\t\t<div data-elementor-type=\"wp-post\" data-elementor-id=\"4083\" class=\"elementor elementor-4083\" data-elementor-post-type=\"post\">\n\t\t\t\t<div class=\"elementor-element elementor-element-32d58c8 e-flex e-con-boxed e-con e-parent\" data-id=\"32d58c8\" data-element_type=\"container\" data-e-type=\"container\" data-settings=\"{&quot;background_background&quot;:&quot;classic&quot;,&quot;shape_divider_bottom&quot;:&quot;tilt&quot;}\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t\t\t<div class=\"elementor-shape elementor-shape-bottom\" aria-hidden=\"true\" data-negative=\"false\">\n\t\t\t<svg xmlns=\"http:\/\/www.w3.org\/2000\/svg\" viewBox=\"0 0 1000 100\" preserveAspectRatio=\"none\">\n\t<path class=\"elementor-shape-fill\" d=\"M0,6V0h1000v100L0,6z\"\/>\n<\/svg>\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-8100abd elementor-widget elementor-widget-heading\" data-id=\"8100abd\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h1 class=\"elementor-heading-title elementor-size-default\">Semi-markov multistate individual loss reserving model in general insurance<\/h1>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-af91193 elementor-widget elementor-widget-heading\" data-id=\"af91193\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h3 class=\"elementor-heading-title elementor-size-default\">DetraNote 2020-1<\/h3>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-87f3931 e-flex e-con-boxed e-con e-parent\" data-id=\"87f3931\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t<div class=\"elementor-element elementor-element-9aa7e1d e-con-full e-flex e-con e-child\" data-id=\"9aa7e1d\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-67f934f elementor-widget elementor-widget-image\" data-id=\"67f934f\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"image.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<a href=\"https:\/\/detralytics.com\/wp-content\/uploads\/2020\/03\/Detra-Note_Micro-Reserving-2020-1.pdf\" target=\"_blank\">\n\t\t\t\t\t\t\t<img fetchpriority=\"high\" decoding=\"async\" width=\"283\" height=\"400\" src=\"https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-283x400.jpg\" class=\"elementor-animation-grow attachment-medium size-medium wp-image-1682\" alt=\"\" srcset=\"https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-283x400.jpg 283w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-724x1024.jpg 724w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-768x1086.jpg 768w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-1086x1536.jpg 1086w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-1448x2048.jpg 1448w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-103x146.jpg 103w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-35x50.jpg 35w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-53x75.jpg 53w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/08\/DetraNote-2020-1_Cover-scaled.jpg 1810w\" sizes=\"(max-width: 283px) 100vw, 283px\" \/>\t\t\t\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-420ffe4 elementor-align-center elementor-widget elementor-widget-button\" data-id=\"420ffe4\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"button.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<div class=\"elementor-button-wrapper\">\n\t\t\t\t\t<a class=\"elementor-button elementor-button-link elementor-size-sm\" href=\"https:\/\/detralytics.com\/wp-content\/uploads\/2020\/03\/Detra-Note_Micro-Reserving-2020-1.pdf\">\n\t\t\t\t\t\t<span class=\"elementor-button-content-wrapper\">\n\t\t\t\t\t\t<span class=\"elementor-button-icon\">\n\t\t\t\t<svg aria-hidden=\"true\" class=\"e-font-icon-svg e-far-arrow-alt-circle-down\" viewBox=\"0 0 512 512\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\"><path d=\"M256 8C119 8 8 119 8 256s111 248 248 248 248-111 248-248S393 8 256 8zm0 448c-110.5 0-200-89.5-200-200S145.5 56 256 56s200 89.5 200 200-89.5 200-200 200zm-32-316v116h-67c-10.7 0-16 12.9-8.5 20.5l99 99c4.7 4.7 12.3 4.7 17 0l99-99c7.6-7.6 2.2-20.5-8.5-20.5h-67V140c0-6.6-5.4-12-12-12h-40c-6.6 0-12 5.4-12 12z\"><\/path><\/svg>\t\t\t<\/span>\n\t\t\t\t\t\t\t\t\t<span class=\"elementor-button-text\">Download<\/span>\n\t\t\t\t\t<\/span>\n\t\t\t\t\t<\/a>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-2e62cc6 e-con-full e-flex e-con e-child\" data-id=\"2e62cc6\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-fc5d00b elementor-widget elementor-widget-heading\" data-id=\"fc5d00b\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Abstract<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-f1e1dc7 elementor-widget elementor-widget-text-editor\" data-id=\"f1e1dc7\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p>This paper proposes a multistate model with a Semi-Markov dependence structure describing the different stages in the settlement process of individual claims in general insurance. Every trajectory, from reporting to closure is combined with a modeling of individual link ratios to obtain the ultimate cost of each claim. Quantiles and other risk measures can then easily be obtained by simulation. A case study based on individual claim developments in a motor third party liability insurance portfolio illustrates the relevance of the proposed approach.<\/p><p><strong><span style=\"color: #097566;\">Keywords:<\/span> <\/strong> IBNR, RBNP, RBNS, loss development, technical provisions, solvency calculation, financial reporting.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-0f29719 e-con-full e-flex e-con e-child\" data-id=\"0f29719\" data-element_type=\"container\" data-e-type=\"container\" data-settings=\"{&quot;background_background&quot;:&quot;gradient&quot;}\">\n\t\t\t\t<div class=\"elementor-element elementor-element-2952de9 elementor-widget__width-inherit elementor-widget elementor-widget-text-editor\" data-id=\"2952de9\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p><b>Sector: <\/b>Insurance<\/p><p><b><\/b><b>Expertise: <\/b>Solvency calculation<\/p><p><b>Authors:<\/b> Carole Bettonville,<\/p><p>Robin Van Oirbeek,<\/p><p>Michel Denuit &amp;\u00a0 Julien Trufin<\/p><p><b>Publisher:<\/b> Detralytics<\/p><p><b>Date:<\/b> March 2020<\/p><p><b>Language:<\/b> English<\/p><p><b>Pages:<\/b> 29<\/p><p><b>Reference :<\/b> Detra Note 2020-1<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-c6ae38d e-flex e-con-boxed e-con e-parent\" data-id=\"c6ae38d\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t\t\t<div class=\"elementor-element elementor-element-a1c05c2 elementor-widget elementor-widget-spacer\" data-id=\"a1c05c2\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"spacer.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t<div class=\"elementor-spacer\">\n\t\t\t<div class=\"elementor-spacer-inner\"><\/div>\n\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-f183faa elementor-widget elementor-widget-heading\" data-id=\"f183faa\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">About the authors<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-b455dd6 e-flex e-con-boxed e-con e-parent\" data-id=\"b455dd6\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t<div class=\"elementor-element elementor-element-826b55c e-con-full e-flex e-con e-child\" data-id=\"826b55c\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-a4936f2 elementor-widget elementor-widget-image\" data-id=\"a4936f2\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"image.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<img decoding=\"async\" width=\"782\" height=\"782\" src=\"https:\/\/detralytics.com\/wp-content\/uploads\/2021\/06\/Carole_rond.png\" class=\"attachment-large size-large wp-image-4344\" alt=\"\" srcset=\"https:\/\/detralytics.com\/wp-content\/uploads\/2021\/06\/Carole_rond.png 782w, https:\/\/detralytics.com\/wp-content\/uploads\/2021\/06\/Carole_rond-768x768.png 768w\" sizes=\"(max-width: 782px) 100vw, 782px\" \/>\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-888af75 e-con-full e-flex e-con e-child\" data-id=\"888af75\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-b42de73 elementor-widget elementor-widget-heading\" data-id=\"b42de73\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Carole Bettonville<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-c03f01f elementor-widget elementor-widget-text-editor\" data-id=\"c03f01f\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p>Carole is a Freelance Expert at Detralytics. During her various missions, Carole has worked on various fields such as calibration of lapse rate and mortality models and a project as part of the IFRS 17 framework, aiming at identifying a Best Estimate allocation key based on some claims characteristics. Prior to joining Detralytics, Carole worked as an intern at Axa Belgium.\u00a0<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-6ef4601 e-flex e-con-boxed e-con e-parent\" data-id=\"6ef4601\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t<div class=\"elementor-element elementor-element-f87357d e-con-full e-flex e-con e-child\" data-id=\"f87357d\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-89da523 elementor-widget elementor-widget-image\" data-id=\"89da523\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"image.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<img decoding=\"async\" width=\"500\" height=\"501\" src=\"https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond.png\" class=\"attachment-large size-large wp-image-2059\" alt=\"Michel Denuit\" srcset=\"https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond.png 500w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-400x400.png 400w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-150x150.png 150w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-100x100.png 100w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-250x250.png 250w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-320x320.png 320w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-146x146.png 146w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-50x50.png 50w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-75x75.png 75w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-85x85.png 85w, https:\/\/detralytics.com\/wp-content\/uploads\/2020\/12\/Michel_Rond-80x80.png 80w\" sizes=\"(max-width: 500px) 100vw, 500px\" \/>\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-db9cd35 e-con-full e-flex e-con e-child\" data-id=\"db9cd35\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-d58ded0 elementor-widget elementor-widget-heading\" data-id=\"d58ded0\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Michel Denuit<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-3770367 elementor-widget elementor-widget-text-editor\" data-id=\"3770367\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p>Michel is a Scientific Advisor at Detralytics, as well as a professor in actuarial science at the Universit\u00e9 Catholique de Louvain. He has international experience as a visiting professor, and has promoted many projects in collaboration with the industry. At Detralytics, Michel coaches young talents, provides cutting-edge training, fosters innovation and oversees R&amp;D projects.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-161a75b e-flex e-con-boxed e-con e-parent\" data-id=\"161a75b\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t\t<div class=\"e-con-inner\">\n\t\t<div class=\"elementor-element elementor-element-c903bac e-con-full e-flex e-con e-child\" data-id=\"c903bac\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-67148b7 elementor-widget elementor-widget-image\" data-id=\"67148b7\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"image.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<img loading=\"lazy\" decoding=\"async\" width=\"500\" height=\"500\" src=\"https:\/\/detralytics.com\/wp-content\/uploads\/2025\/08\/Julien.png\" class=\"attachment-large size-large wp-image-5905\" alt=\"Julien\" \/>\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t<div class=\"elementor-element elementor-element-77c4f5b e-con-full e-flex e-con e-child\" data-id=\"77c4f5b\" data-element_type=\"container\" data-e-type=\"container\">\n\t\t\t\t<div class=\"elementor-element elementor-element-8d1dbd3 elementor-widget elementor-widget-heading\" data-id=\"8d1dbd3\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"heading.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<h2 class=\"elementor-heading-title elementor-size-default\">Julien Truffin<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-7af8ab0 elementor-widget elementor-widget-text-editor\" data-id=\"7af8ab0\" data-element_type=\"widget\" data-e-type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t\t<p>Julien is a Scientific Advisor at Detralytics, as well as a professor in Actuarial Science at the department of mathematics of the Universit\u00e9 Libre de Bruxelles. Julien has experience as a consultant and a strong academic background developed at prominent institutions, including Universit\u00e9 Laval (Canada), UCL, and ULB (Belgium). 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