Before revision:  Using data at a daily level we propose a micro-level model for the heterogeneity in reporting delay caused by calendar day effects in the reporting process, such as the weekday pattern and holidays. A simulation study identifies the strengths and weaknesses of our approach in several scenarios compared to traditional methods to predict the number of incurred but not reported claims from aggregated data (i.e. the chain ladder method). We also illustrate our model on a European general liability insurance data set and conclude that the granular approach compared to the chain ladder method is more robust with respect to volatility in the occurrence process.
After revision:  Using data at a daily level we propose a micro-level model for the heterogeneity in reporting delay caused by calendar day effects in the reporting process, such as weekday and holiday effects. We illustrate this approach on a European general liability insurance data set and conclude that the granular approach compared to the chain ladder method is more robust with respect to volatility in the occurrence process.