Individual claims reserving using the aalen–johansen estimator

HIGHLIGHTS

• What: The authors demonstrate how these estimators can also be applied to non-life insurance for reserving purposes. In this manuscript, the authors propose an individual claims reserving model based on a continuous-time non-explosive pure jump process denoted by J on a finite state space, S={1,..., k}, k ∈ N, where states correspond to the development periods (DPs) within a development triangle, and the "time spent" Martin Bladt and Gabriele Pittarello S to set up the reserving model. This aspect will be particularly relevant for the data application, where the authors compare the model to . . .
  

   

  

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