Title of article :
Applying copula models to individual claim loss reserving methods
Author/Authors :
Zhao، نويسنده , , Xiaobing and Zhou، نويسنده , , Xian، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
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.
Keywords :
Individual claim loss model , Clayton copula , Semi-competing risks , Semi-survival copula , IBNR claim , Event and delay times
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics