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A Bayesian copula model for stochastic claims reserving

Regis, Luca A Bayesian copula model for stochastic claims reserving. Working Paper #227/2011 Carlo Alberto Notebooks ISSN 2279-9362.

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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.

Item Type: Working Paper (Working Paper)
Uncontrolled Keywords: stochastic claims reserving; bayesian copulas; solvency capital requirement; loss reserving; bayesian methods
Subjects: H Social Sciences > HB Economic Theory
Research Area: Economics and Institutional Change
Depositing User: Ms T. Iannizzi
Date Deposited: 27 Sep 2013 12:10
Last Modified: 27 Sep 2013 12:10
URI: http://eprints.imtlucca.it/id/eprint/1803

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