Dependent Loss Reserving Using Copulas

  title={Dependent Loss Reserving Using Copulas},
  author={Peng Shi and Edward W. Frees},
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 proposed method, relating the payments in different run-off triangles through a copula function, allows the… CONTINUE READING


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