Copula-based Modeling for IBNR Claim Loss Reserving
Applications
2022-03-25 v1
Abstract
There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve variables, i.e., the time between two successive occurrences and delay time. A maximum likelihood estimation method is used to estimate the parameters of the model. A simulation study is conducted to evaluate the validity of the theoretical results. Moreover, the proposed method is applied to predict the number of claims for the next years of a portfolio from a major automobile insurer and is compared to the classical CL model forecasting.
Keywords
Cite
@article{arxiv.2203.12750,
title = {Copula-based Modeling for IBNR Claim Loss Reserving},
author = {Samira Zaroudi and Mohammad Reza Faridrohani and Mohammad Hassan Behzadi and Hadi Safari-Katesari},
journal= {arXiv preprint arXiv:2203.12750},
year = {2022}
}