Copula-based modeling for IBNR claim loss reserving

被引：0

作者：

Zaroudi, Samira ^{[1
]}

Faridrohani, Mohammad Reza ^{[2
]}

Behzadi, Mohammad Hassan ^{[3
]}

Safari-Katesari, Hadi ^{[4
]}

机构：

[1] Southern Illinois Univ, Sch Math & Stat Sci, Carbondale, IL 62901 USA

[2] Shahid Beheshti Univ, Fac Math Sci, Dept Stat, Tehran, Iran

[3] Sci & Res Islamic Azad Univ, Dept Stat, Tehran, Iran

[4] Stevens Inst Technol, Dept Math Sci, Hoboken, NJ 07030 USA

来源：

SCIENTIA IRANICA | 2024年 / 31卷 / 18期

关键词：

Copula; Event and reporttimes; IBNR reserves; Run-o triangle; Third-party insurance;

D O I：

10.24200/sci.2021.54706.3878

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

.there are growing concerns for reserves estimation of Incurred But NotReported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-baseddependency model to capture the relationship between two main IBNR reserve variables,i.e., the \time between two successive occurrences" and \delay time".A maximumlikelihood estimation method is used to estimate the parameters of the model. A simulationstudy is conducted to evaluate the validity of the theoretical results. Moreover, the proposedmethod is applied to predict the number of claims for the next years of a portfolio froma major automobile insurer and is compared to the classical Chain-Ladder (CL) modelforecasting. (c) 2024 Sharif University of Technology. All rights reserved

引用

页码：1596 / 1605

页数：10

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