Fulltext

PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING

Happ, Sebastian ; Wüthrich, Mario V.

In: ASTIN Bulletin, 2013, vol. 43, no. 1, p. 1-20

Ajouter à la liste personnelle
    Titre
    • PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING
    Auteur
    • Happ, Sebastian. Department of Business Administration, University of Hamburg, 20146 Hamburg, Germany
    • Wüthrich, Mario V.. Department of Mathematics, ETH Zurich, RiskLab, 8092 Zurich, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • ASTIN Bulletin, 2013, vol. 43, no. 1, p. 1-20. Cambridge University Press
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:300241
    Summary
    The paid-incurred chain (PIC) reserving method is a claims reserving method that allows to combine claims payments and incurred losses information in a mathematical consistent way. The main criticism on the original Bayesian log-normal PIC model presented in Merz-Wüthrich [5] is that it does not respect dependence properties within the observed data. In the present paper, we extend the original Bayesian log-normal PIC model so that dependence is modeled in an appropriate way