caa a22 4500 386332665 CHVBK 20180307111720.0 cr unu---uuuuu 161130e198904 xx s 000 0 eng 10.2143/AST.19.1.2014914 doi S0515036100008345 pii (NATIONALLICENCE)cambridge-10.2143/AST.19.1.2014914 Jewell William S. Engineering Systems Research Center, University of California, Berkely Predicting Ibnyr Events and Delays: I. Continuous Time [Elektronische Daten] [William S. Jewell] An IBNYR event is one that occurs randomly during some fixed exposure interval and incurs a random delay before it is reported. Both the rate at which such events occur and the parameters of the delay distribution are unknown random quantities. Given the number of events that have been reported during some observation interval, plus various secondary data on the dates of the events, the problem is to estimate the true values of the unknown parameters and to predict the number of events that are still unreported. A full-distributional Bayesian model is used, and it is shown that the amount of secondary data is critical. A recursive procedure calculates the predictive density; however, an explicit formula for the predictive mode can be obtained. The main computational work is the evaluation of an integral involving the prior density of the delay parameters, but this can be simplified in the exponential case using Gammoid approximations. Copyright © International Actuarial Association 1989 Observations delays nationallicence Inccurred But Not Reported (IBNR) models nationallicence Bayesian estimation and prediction nationallicence ASTIN Bulletin Cambridge University Press 19/1(1989-04), 25-55 0515-0361 19:1<25 1989 19 ASB https://doi.org/10.2143/AST.19.1.2014914 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2143/AST.19.1.2014914 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Jewell William S. Engineering Systems Research Center, University of California, Berkely NATIONALLICENCE 773 0- ASTIN Bulletin Cambridge University Press 19/1(1989-04), 25-55 0515-0361 19:1<25 1989 19 ASB CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence SWISSBIB 386332665 BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge