Auto-balanced common shock claim models
Methodology
2021-12-30 v1 Applications
Abstract
The paper is concerned with common shock models of claim triangles. These are usually constructed as a linear combinations of shock components and idiosyncratic components. Previous literature has discussed the unbalanced property of such models, whereby the shocks may over- or under-contribute to some observations. The literature has also introduced corrections for this. The present paper discusses 'auto-balanced' models, in which all shock and idiosyncratic components contribute to observations such that their proportionate contributions are constant from one observation to another. The conditions for auto-balance are found to be simple and applicable to a wide range of model structures. Numerical illustrations are given.
Cite
@article{arxiv.2112.14715,
title = {Auto-balanced common shock claim models},
author = {Greg Taylor and Phuong Anh Vu},
journal= {arXiv preprint arXiv:2112.14715},
year = {2021}
}
Comments
27 pages