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A Bayesian copula model for stochastic claims reserving

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  • Luca Regis

Abstract

We 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 Info

Paper provided by Collegio Carlo Alberto in its series Carlo Alberto Notebooks with number 227.

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Length: 26 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:cca:wpaper:227

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Keywords: stochastic claims reserving; bayesian copulas; solvency capital requirement; loss reserving; bayesian methods;

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  1. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
  2. 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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