%N 227
%D 2011
%L eprints1803
%X 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.
%A Luca Regis
%K stochastic claims reserving; bayesian copulas; solvency capital requirement; loss reserving; bayesian methods
%I Carlo Alberto Notebooks
%T A Bayesian copula model for stochastic claims reserving