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  #1  
Old 06-19-2017, 03:14 AM
cagkan cagkan is offline
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Default Daily IBNR Calculation

Hi everyone,

I've got a specific problem.

There is a module that I can see written premiums, paid claims, case reserves etc. figures on daily basis for MTPL. If I want to calculate an IBNR amount for policies that are written yesterday, how would I do that?

Thus, when I check the module, I can see yesterday's written premium figure as well as IBNR amount of it.

What do you think?

PS: I know ULR for MTPL is %90 and it wont change in coming 3 months. Maybe I can use it in some way.
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Old 06-19-2017, 07:24 AM
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Abelian Grape Abelian Grape is offline
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Determine a paid/reported pattern and interpolate to get % paid and % reported by date then use those to determine indicated IBNR. You can even incorporate an a priori so that you can apply some BF-type approach.
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Old 06-19-2017, 08:16 AM
cagkan cagkan is offline
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Thank you Abelian Grape, but I'm not sure that how I can use a priori in the process(?)
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Old 06-19-2017, 08:18 AM
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Abelian Grape Abelian Grape is offline
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One approach you can use is if you know the ULR is %90, then the IBNR for a block of policies should be its earned premium times the ULR (to get the ultimate losses) and then subtract the reported losses.
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