In this paper, the individual claim reserving model proposed by Pigeon et al. (2013) is extended to include paid and incurred data. Analytic expressions are derived for the expected ultimate losses, given observed development patterns. The usefulness of this new model is illustrated using a...

In general insurance, the evaluation of future cash flows and solvency capital has become increasingly important. To assist in this process, the present paper proposes an individual discrete-time loss reserving model describing the occurrence, the reporting delay, the time to the first payment,...

This paper develops a stochastic model for individual claims reserving using observed data on claim payments as well as incurred losses. We extend the approach of Pigeon et al. (2013), designed for payments only, towards the inclusion of incurred losses. We call the new technique the individual...