caa a22 4500 386350094 CHVBK 20180307111826.0 cr unu---uuuuu 161130e198912 xx s 000 0 eng 10.1017/S0020268100036672 doi S0020268100036672 pii (NATIONALLICENCE)cambridge-10.1017/S0020268100036672 Time series models for insurance claims [Elektronische Daten] The distribution of insurance claims in a given time period is usually regarded as a random sum. This paper sets up a time series model for the value of the claims and combines it with a model for the number of claims. Thus past observations can be used to make predictions of future values of the random sum, and the overall model ensures that they are discounted appropriately. It is shown that explanatory variables can be introduced into the model, and how it can be extended to handle several groups. The general approach is based on the recently developed structural time series methodology. Copyright © Institute and Faculty of Actuaries 1989 Harvey A. C. Department of Statistics, London School of Economics and Political Science Fernandes C. Department of Statistics, London School of Economics and Political Science Journal of the Institute of Actuaries Cambridge University Press 116/3(1989-12), 513-528 0020-2681 116:3<513 1989 116 JIA https://doi.org/10.1017/S0020268100036672 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1017/S0020268100036672 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Harvey A. C. Department of Statistics, London School of Economics and Political Science NATIONALLICENCE 700 1- Fernandes C. Department of Statistics, London School of Economics and Political Science NATIONALLICENCE 773 0- Journal of the Institute of Actuaries Cambridge University Press 116/3(1989-12), 513-528 0020-2681 116:3<513 1989 116 JIA CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge