### Abstract

of incurred but not recorded disability insurance claims, assuming that

there is a link between the number of claims and the chosen economic

indicators. We propose a Bayesian model where we model the claims

development in three directions: along incurred periods, recording lag periods and calendar periods. A stochastic model of the economic indicators

is incorporated into the calendar period development direction. Thus we

allow for the impact of the economic environment on the number of claims.

Applying the proposed model to data, we illustrate how the inclusion of

economic indicators effects the prediction of the number of incurred but

not recorded disability claims.

Original language | English |
---|---|

Pages (from-to) | 381-400 |

Number of pages | 20 |

Journal | Annals of Actuarial Science |

Volume | 6 |

Issue number | 2 |

Early online date | 30 Apr 2012 |

DOIs | |

Publication status | Published - 1 Sep 2012 |

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*Annals of Actuarial Science*,

*6*(2), 381-400. https://doi.org/10.1017/S1748499512000024

}

*Annals of Actuarial Science*, vol. 6, no. 2, pp. 381-400. https://doi.org/10.1017/S1748499512000024

**Bayesian prediction of disability insurance frequencies using economic indicators.** / Donnelly, Catherine; Wuethrich, Mario.

Research output: Contribution to journal › Article

TY - JOUR

T1 - Bayesian prediction of disability insurance frequencies using economic indicators

AU - Donnelly, Catherine

AU - Wuethrich, Mario

PY - 2012/9/1

Y1 - 2012/9/1

N2 - We use economic indicators to improve the prediction of the numberof incurred but not recorded disability insurance claims, assuming thatthere is a link between the number of claims and the chosen economicindicators. We propose a Bayesian model where we model the claimsdevelopment in three directions: along incurred periods, recording lag periods and calendar periods. A stochastic model of the economic indicatorsis incorporated into the calendar period development direction. Thus weallow for the impact of the economic environment on the number of claims.Applying the proposed model to data, we illustrate how the inclusion ofeconomic indicators effects the prediction of the number of incurred butnot recorded disability claims.

AB - We use economic indicators to improve the prediction of the numberof incurred but not recorded disability insurance claims, assuming thatthere is a link between the number of claims and the chosen economicindicators. We propose a Bayesian model where we model the claimsdevelopment in three directions: along incurred periods, recording lag periods and calendar periods. A stochastic model of the economic indicatorsis incorporated into the calendar period development direction. Thus weallow for the impact of the economic environment on the number of claims.Applying the proposed model to data, we illustrate how the inclusion ofeconomic indicators effects the prediction of the number of incurred butnot recorded disability claims.

U2 - 10.1017/S1748499512000024

DO - 10.1017/S1748499512000024

M3 - Article

VL - 6

SP - 381

EP - 400

JO - Annals of Actuarial Science

JF - Annals of Actuarial Science

SN - 1748-4995

IS - 2

ER -