PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING
Happ, Sebastian ; Wüthrich, Mario V.
In: ASTIN Bulletin, 2013, vol. 43, no. 1, p. 1-20
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- 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