Dependence Modeling in Multivariate Claims Run-Off Triangles
University of Hamburg
Mario V. Wuthrich
ETH Zurich, RiskLab, Department of Mathematics; Cass Business School, City University London
University of Lausanne, Actuarial Department
December 20, 2011
Annals of Actuarial Science, Forthcoming
Claims reserving is one main task in general insurance actuarial mathematics. A central issue in claims reserving is the modeling of appropriate dependence structures. Most classical models cannot cope with this task. We define a multivariate log-normal model that allows to model both, dependence between different sub-portfolios and dependence within sub-portfolios such as claims inflation. In this model we derive closed form solutions for claims reserves and the corresponding prediction uncertainty.
Keywords: general insurance, non-life insurance, claims reserving, aggregation of run-off portfolios, claims inflation, outstanding loss liabilities
JEL Classification: C11, C53, G22, G28Accepted Paper Series
Date posted: December 22, 2011 ; Last revised: July 5, 2012
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