Regis, Luca A Bayesian copula model for stochastic claims reserving. Working Paper #227/2011 Carlo Alberto Notebooks ISSN 2279-9362.
Full text not available from this repository.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.
| 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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