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Applying copula models to individual claim loss reserving methods

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  • Zhao, XiaoBing
  • Zhou, Xian
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    Abstract

    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 the actuarial literature, which overcome some shortcomings of aggregated claim loss models. The dependence of the event times with the delays is a crucial issue for estimating the claim loss reserving. In this article, we propose to use semi-competing risks copula and semi-survival copula models to fit the dependence structure of the event times with delays in the individual claim loss model. A nonstandard two-step procedure is applied to our setting in which the associate parameter and one margin are estimated based on an ad hoc estimator of the other margin. The asymptotic properties of the estimators are established as well. A simulation study is carried out to evaluate the performance of the proposed methods.

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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 46 (2010)
    Issue (Month): 2 (April)
    Pages: 290-299

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    Handle: RePEc:eee:insuma:v:46:y:2010:i:2:p:290-299

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    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: IBNR claim Individual claim loss model Event and delay times Clayton copula Semi-competing risks Semi-survival copula;

    References

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    Cited by:
    1. Antonio, Katrien & Plat, Richard, 2012. "Micro-level stochastic loss reserving for general insurance," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/349102, Katholieke Universiteit Leuven.

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