Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach
نویسندگان
چکیده
منابع مشابه
Individual Loss Reserving with the Multivariate Skew Normal Distribution
The evaluation of future cash flows and solvency capital recently gained importance in general insurance. To assist in this process, our paper proposes a novel loss reserving model, designed for individual claims in discrete time. We model the occurrence of claims, as well as their reporting delay, the time to the first payment, and the cash flows in the development process. Our approach uses d...
متن کاملSarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis
The correlation among multiple lines of business plays a critical role in aggregating claims and thus determining loss reserves for an insurance portfolio. We show that the Sarmanov family of bivariate distributions is a convenient choice to capture the dependencies introduced by various sources, including the common calendar year, accident year and development period effects. The density of th...
متن کاملLoss reserving using loss aversion functions
This article discusses the determination of risk capital based on “aversion” functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion operators and risk margin loadings. The approach of this paper builds on, unifies,and extends existi...
متن کاملDependent Loss Reserving Using Copulas
Modeling the dependence among multiple loss triangles has important implications for the determination of loss reserves, a critical element of risk management and capital allocation practices of property-casualty insurers. In this article, we propose a copula regression model for dependent lines of business that can be used to predict unpaid losses and hence determine loss reserves. The propose...
متن کاملPrediction Error of the Multivariate Additive Loss Reserving Method for Dependent Lines of Business
Often in non-life insurance, claims reserves are the largest position on the liability side of the balance sheet. Therefore, the prediction of adequate claims reserves for a portfolio consisting of several run-off subportfolios from dependent lines of business is of big importance for every non-life insurance company. In the present paper we consider the claims reserving problem in a multivaria...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2016
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2016.08.006