A continuous-time model for claims reserving
Prediction of outstanding liabilities is an important problem in non-life insurance. In the framework of the Solvency II Project, the best estimate must be derived by well defined probabilistic models properly calibrated on the relevant claims experience. A general model along these lines was proposed earlier by Norberg (1993, 1999), who suggested modelling claim arrivals and payment streams as a marked point process. In this paper we specify that claims occur in $[0,1]$ according to a Poisson point process, possibly non-homogeneous, and that each claim initiates a stream of payments, which is modelled by a non-homogeneous compound Poisson process. Consecutive payment streams are i.i.d. and independent of claim arrivals. We find estimates for the total payment in an interval $(v,v+s]$, where $v\ge 1$, based upon the total payment up to time $v$. An estimate for Incurred But Not Reported (IBNR) losses is also given.