Dependence Modeling in Multivariate Claims Run-Off Triangles

Annals of Actuarial Science, Forthcoming

Posted: 22 Dec 2011 Last revised: 5 Jul 2012

See all articles by Michael Merz

Michael Merz

University of Hamburg

Mario V. Wuthrich

RiskLab, ETH Zurich

Enkelejd Hashorva

University of Lausanne, Actuarial Department

Date Written: December 20, 2011

Abstract

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 de fine 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

Merz, Michael and Wuthrich, Mario V. and Hashorva, Enkelejd, Dependence Modeling in Multivariate Claims Run-Off Triangles (December 20, 2011). Annals of Actuarial Science, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1975336 or http://dx.doi.org/10.2139/ssrn.1975336

Michael Merz

University of Hamburg ( email )

Allende-Platz 1
Hamburg, 20146
Germany

Mario V. Wuthrich (Contact Author)

RiskLab, ETH Zurich ( email )

Department of Mathematics
Ramistrasse 101
Zurich, 8092
Switzerland

Enkelejd Hashorva

University of Lausanne, Actuarial Department ( email )

Unil Dorigny, Batiment Internef
Lausanne, 1015
Switzerland

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