Modelling of Discretized Claim Numbers in Loss Reserving

We investigate the usual method of discretizing loss reserving data by calendar year and show how this procedure may introduce fluctuations in the delay probabilities. These fluctuations, when treated as random fluctuations, possess a special correlation structure and we present a simple credibility method accounting for these fluctuations. The results are illustrated by a numerical example. Keywords: Loss reserving; Claim numbers; Poisson process; Discretizing by calendar year; Variations in delay probabilities; Credibility adjustment.