TY  - RPRT
TI  - A Bayesian copula model for stochastic claims reserving
AV  - none
Y1  - 2011///
KW  - stochastic claims reserving; bayesian copulas; solvency capital requirement; loss reserving; bayesian methods
UR  - http://eprints.imtlucca.it/1803/
A1  - Regis, Luca
PB  - Carlo Alberto Notebooks
SN  - 2279-9362
M1  - working_paper
N2  - 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.
ID  - eprints1803
EP  - 26
ER  -