A Bayesian copula model for stochastic claims reserving
AbstractWe present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the use of additional information at a low cost. This paper combines a standard Bayesian approach for the estimation of marginal distribution for the single Lines of Business for a Non-Life insurance company and a Bayesian copula procedure for the estimation of aggregate reserves. The model we present allows to "mix" own-assessments of dependence between LoBs at a company level and market-wide estimates provided by regulators. We illustrate results for the single lines of business and we compare standard copula aggregation for different copula choices and the Bayesian copula approach.
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Bibliographic InfoPaper provided by Collegio Carlo Alberto in its series Carlo Alberto Notebooks with number 227.
Length: 26 pages
Date of creation: 2011
Date of revision:
stochastic claims reserving; bayesian copulas; solvency capital requirement; loss reserving; bayesian methods;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- de Alba, Enrique & Nieto-Barajas, Luis E., 2008. "Claims reserving: A correlated Bayesian model," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 368-376, December.
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