Dependence modelling in multivariate claims run-off triangles
نویسندگان
چکیده
منابع مشابه
Prediction Error of the Chain Ladder Reserving Method applied to Correlated Run-Off Triangles
In Buchwalder et al. [3] we have revisited Mack’s [7] and Murphy’s [9] estimates for the mean square error of prediction (MSEP) of the chain ladder claims reserving method. This was done using a time series model for the chain ladder method. In this paper we extend the time series model to determine an estimate for the MSEP of a portfolio of N correlated run-off triangles. This estimate differs...
متن کاملThe Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.
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The present paper provides a unif3"ing survey of some of the most important methods and models of loss reserving which are based on run-off triangles. The starting point is the thesis that the use of runoff triangles in loss reserving can be justified only under the assumption that the development of the losses of ever3, accident year follows a development pattern which is common to all acciden...
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Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of Lévy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR.
متن کاملModeling dependence between loss triangles using copulas
A critical problem in property and casualty insurance is forecasting payments for incurred but not yet finalized claims. Forecasts and associated risk margins are often based on loss triangles with each triangle corresponding to a different line of business. Each triangle displays the development over time of all payments associated with claims originating in each year and for a given line of b...
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ژورنال
عنوان ژورنال: Annals of Actuarial Science
سال: 2012
ISSN: 1748-4995,1748-5002
DOI: 10.1017/s1748499512000140