Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis
نویسندگان
چکیده
منابع مشابه
Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis
The correlation among multiple lines of business plays a critical role in aggregating claims and thus determining loss reserves for an insurance portfolio. We show that the Sarmanov family of bivariate distributions is a convenient choice to capture the dependencies introduced by various sources, including the common calendar year, accident year and development period effects. The density of th...
متن کاملOn Generalized Sarmanov Bivariate Distributions
A class of bivariate distributions which generalizes the Sarmanov class is introduced. This class possesses a simple analytical form and desirable dependence properties. The admissible range for association parameter for given bivariate distributions are derived and the range for correlation coefficients are also presented.
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The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have attracted a great deal of interest in actuarial literature, which overcome some shortcomings of aggregated claim loss models. The dependence of the event times with the delays is a crucial issue f...
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The Sarmanov family of distributions can provide a good model for bivariate random variables and it is used to model dependency in a multivariate setting with given marginals. In this paper, we focus our attention on the bivariate Sarmanov distribution and copula with different truncated extreme value marginal distributions. We compare a global estimation method based on maximizing the full log...
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The evaluation of future cash flows and solvency capital recently gained importance in general insurance. To assist in this process, our paper proposes a novel loss reserving model, designed for individual claims in discrete time. We model the occurrence of claims, as well as their reporting delay, the time to the first payment, and the cash flows in the development process. Our approach uses d...
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ژورنال
عنوان ژورنال: North American Actuarial Journal
سال: 2016
ISSN: 1092-0277,2325-0453
DOI: 10.1080/10920277.2016.1161525