Tweedie double GLM loss triangles with dependence within and across business lines

We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk calculate associated capital requirements. Our includes many desirable features which enable reproducing empirical properties of loss ratio dynamics. For instance, our integrates double generalized linear relying on accident semester development lag effects represent both the mean dispersion distributions, an autocorrelation structure between ratios various lags, copula-based aggregation risks driving dependence across lines. work is first in literature combine all such advantageous within triangle model. The allows joint simulation triangles quantification overall portfolio through measures. Consequently, diversification benefit economic requirements can be measured, accordance IFRS 17 standards allow recognition benefit. allocation based Euler principle then illustrated. implementation performed by estimating its parameters car insurance data obtained from General Insurance Statistical Agency (GISA), conducting numerical simulations whose results are presented.