Copula-based Modeling for IBNR Claim Loss Reserving

There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarialsciences. In this paper, we propose a copula-based dependency model to capture the relationship betweentwo main IBNR reserve variables, i.e., “time between two successive occurrences” and “delay time”.A maximum likelihood (MLE) method is used estimate parameters model. Asimulation study conducted evaluate validity theoretical results. Moreover, proposedmethod applied predict number next years portfolio from major automobileinsurer compared classical Chain Ladder forecasting.