Applying copula models to individual claim loss reserving methods

Xiao Bing Zhao, Xian Zhou*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

46 Citations (Scopus)
130 Downloads (Pure)

Abstract

The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have attracted a great deal of interest in the actuarial literature, which overcome some shortcomings of aggregated claim loss models. The dependence of the event times with the delays is a crucial issue for estimating the claim loss reserving. In this article, we propose to use semi-competing risks copula and semi-survival copula models to fit the dependence structure of the event times with delays in the individual claim loss model. A nonstandard two-step procedure is applied to our setting in which the associate parameter and one margin are estimated based on an ad hoc estimator of the other margin. The asymptotic properties of the estimators are established as well. A simulation study is carried out to evaluate the performance of the proposed methods.

Original languageEnglish
Pages (from-to)290-299
Number of pages10
JournalInsurance: Mathematics and Economics
Volume46
Issue number2
DOIs
Publication statusPublished - Apr 2010

Fingerprint

Dive into the research topics of 'Applying copula models to individual claim loss reserving methods'. Together they form a unique fingerprint.

Cite this