Individual loss reserving with the multivariate skew normal distribution
AbstractThe evaluation of future cash flows and solvency capital recently gained importance in general insurance. To assist in this process, our paper proposes a novel loss reserving model, designed for individual claims in discrete time. We model the occurrence of claims, as well as their reporting delay, the time to the first payment, and the cash flows in the development process. Our approach uses development factors similar to those of the well–known chain–ladder method. We suggest the Multivariate Skew Normal distribution as a suitable framework for modeling the multivariate distribution of development factors. Empirical analysis using a realistic portfolio and out–of–sample prediction tests demonstrate the relevance of the model proposed.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/335800.
Date of creation: Dec 2012
Date of revision:
Contact details of provider:
Web page: http://www.kuleuven.be
stochastic loss reserving; general insurance; multivariate skew normal distribution; chain-ladder; individual claims;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carl Demeyere).
If references are entirely missing, you can add them using this form.