Detra Note 2020-1

We are pleased to share with you our Detra Note 2020-1 on the "Semi-Markov multistate individual loss reserving model in general insurance". 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. Should some of your actuarial colleagues, peers or acquaintances be interested in our educational papers, trainings and/or events, do not hesitate to provide them with our contact details. They can ask to be added to our mailing list here.