Dependence Modeling in Multivariate Claims Run-Off Triangles
Annals of Actuarial Science, Forthcoming
Posted: 22 Dec 2011 Last revised: 5 Jul 2012
Date Written: December 20, 2011
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, G28
Suggested Citation: Suggested Citation