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.
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