On unreported claims models and beta-model for randomized probability of reported claims
In the context of insurance company liabilities, let \(X\) be the number of `claims reported' and \(Y\) be the number of claims incurred during each year. Then, the expected total number of claims is given by the conditional expectation \(q(x)=E(Y\mid X=x)\) and the expected number of `unreported claims' \(r(x)=E(Y-X\mid X=x)\). In the literature, models for the situations when \(Y\) has a Poisson distribution and a negative binomial distribution are considered resulting in linear functions \(q(x)\). The authors of this paper extend earlier results to the cases when nonlinear models such as beta-binomial, beta-poisson and beta-negative binomial are considered. The resulting \(q(x)\) and \(r(x)\) tend to be non linear (transcendental). Calculations based on simulations are presented in the form of graphs to represent the actual arrival process of insurance claims.
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