relation: http://eprints.imtlucca.it/1803/
title: A Bayesian copula model for stochastic claims reserving
creator: Regis, Luca
subject: HB Economic Theory
description: 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.
publisher: Carlo Alberto Notebooks
date: 2011
type: Working Paper
type: NonPeerReviewed
identifier:   Regis, Luca  A Bayesian copula model for stochastic claims reserving.  Working Paper  #227/2011    Carlo Alberto Notebooks    ISSN 2279-9362.