Assessment Method Of Individual Outstanding Reserving Claims Based On Cox Proportional Hazard Model

The traditional assessment of outstanding claims reserves mostly based on aggregate data traffic from the triangle. The aggregated data losses a lot of useful information contained in the individual data. Thus, how to use individual data to establish the assessment of outstanding claims reserve model become a hot spot of research. We can consider of using survival analysis methods.Cox model in survival analysis has a wide application. The focus of this paper is the Cox model applied to the assessment of outstanding claims reserve.The first two chapters of the paper is an introduction to the research background and a summary of the results of previous studies. The first chapter introduces the research of the background of the outstanding claims reserve and the research fruits. Chapter two introduces the nonhomogeneous Poisson process and the Cox proportional hazards model, and describes the commonly used parameter estimation methods. The main model is introduced in the fourth, fifth and sixth chapters.Considering the relationship among the accident time,delay time and the amount of the claim, a new assessment model is applied to IBNR and RBNS claims.Finally, An example of application and simple simulation is given.