MODELLING INCURRED BUT NOT REPORTED CLAIM COUNTS USING POISSON INTEGER-VALUED AUTOREGRESSIVE(1) PROCESSES WITH CONDITIONAL LEAST SQUARES ESTIMATION AND ITERATIVE WEIGHTED CONDITIONAL LEAST SQUARES ESTIMATION

• Main Author: Guikajaya, Julianto
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/42398
• Institution: Institut Teknologi Bandung

Chain-Ladder and Bornhuetter-Ferguson are methods which are often be used to predict Incurred But Not Reported Claims Reserve. However, because those two methods don’t assume that there is a probability distribution in the claim data which make the prediction result we get isn’t accurate, so it i...