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PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING

Published online by Cambridge University Press:  29 April 2013

Sebastian Happ  and
Mario V. Wüthrich
Sebastian Happ
Affiliation:
Department of Business Administration, University of Hamburg, 20146 Hamburg, Germany
Mario V. Wüthrich
Affiliation:
Department of Mathematics, ETH Zurich, RiskLab, 8092 Zurich, Switzerland
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Abstract

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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.

Keywords

Claims reservingoutstanding loss liabilitiesultimate loss predictionclaims paymentsclaims incurredincurred lossesprediction uncertaintypaid-incurred chain modelPIC reserving method
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 43 , Issue 1 , January 2013 , pp. 1 - 20
Copyright
Copyright © ASTIN Bulletin 2013

References

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