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Applying copula models to individual claim loss reserving methods

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/104318

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Title: Applying copula models to individual claim loss reserving methods
Related: Insurance : mathematics and economics, Vol. 46, Issue 2 (2010), p.290-299
DOI: 10.1016/j.insmatheco.2009.11.001
Publisher: Elsevier
Date: 2010
Author/Creator: Zhao, XiaoBing
Author/Creator: Zhou, Xian
Description: 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.
Description: 10 page(s)
Subject Keyword: IBNR claim
Subject Keyword: individual claim loss model
Subject Keyword: event and delay times
Subject Keyword: Clayton copula
Subject Keyword: semi-competing risks
Subject Keyword: semi-survival copula
Resource Type: journal article
Organisation: Macquarie University. Dept. of Actuarial Studies

Identifier: http://hdl.handle.net/1959.14/104318
Identifier: ISSN:1873-5959
Identifier: mq-rm-2010001140
Language: eng
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