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A Bayesian copula model for stochastic claims reserving


  • Luca Regis


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.

Suggested Citation

  • Luca Regis, 2011. "A Bayesian copula model for stochastic claims reserving," Carlo Alberto Notebooks 227, Collegio Carlo Alberto.
  • Handle: RePEc:cca:wpaper:227

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    References listed on IDEAS

    1. 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.
    2. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    3. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
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    Cited by:

    1. Werner, Christoph & Bedford, Tim & Cooke, Roger M. & Hanea, Anca M. & Morales-NĂ¡poles, Oswaldo, 2017. "Expert judgement for dependence in probabilistic modelling: A systematic literature review and future research directions," European Journal of Operational Research, Elsevier, vol. 258(3), pages 801-819.

    More about this item


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

    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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