eprintid: 1803
rev_number: 11
eprint_status: archive
userid: 6
dir: disk0/00/00/18/03
datestamp: 2013-09-27 12:10:43
lastmod: 2013-09-27 12:10:43
status_changed: 2013-09-27 12:10:43
type: monograph
metadata_visibility: show
creators_name: Regis, Luca
creators_id: luca.regis@imtlucca.it
title: A Bayesian copula model for stochastic claims reserving
ispublished: pub
subjects: HB
divisions: EIC
full_text_status: none
monograph_type: working_paper
keywords: stochastic claims reserving; bayesian copulas; solvency capital requirement; loss reserving; bayesian methods
abstract: 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.
date: 2011
number: 227
publisher: Carlo Alberto Notebooks
pages: 26
institution: IMT Institute for Advanced Studies Lucca
issn: 2279-9362
related_url_url: http://EconPapers.repec.org/RePEc:cca:wpaper:227
citation:   Regis, Luca  A Bayesian copula model for stochastic claims reserving.  Working Paper  #227/2011    Carlo Alberto Notebooks    ISSN 2279-9362.