Dependent Loss Reserving Using Copulas

@inproceedings{Shi2011DependentLR,
  title={Dependent Loss Reserving Using Copulas},
  author={Peng Shi and Edward W. Frees},
  year={2011}
}
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

References

Publications referenced by this paper.
Showing 1-10 of 20 references

A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve prediction error

  • G. Taylor, G. McGuire
  • North American Actuarial Journal
  • 2007
Highly Influential
4 Excerpts

Correlation and the aggregation of unpaid loss distributions

  • P. Brehm
  • ASTIN Bulletin
  • 2002
Highly Influential
10 Excerpts

Additivity of chain-ladder projections

  • B. Ajne
  • ASTIN Bulletin
  • 1994
Highly Influential
7 Excerpts

A general multivariate chain ladder model

  • Y. Zhang
  • Insurance: Mathematics and Economics
  • 2010
1 Excerpt

Goodness-of-fit tests for copulas: a review and a power

  • C. Genest, B. Rémillard, D. Beaudoin
  • 2009
1 Excerpt

Similar Papers

Loading similar papers…