Dependence modelling in multivariate claims run-off triangles

Michael Merz, Mario V. Wüthrich and Enkelejd Hashorva

Annals of Actuarial Science, 2013, vol. 7, issue 1, 3-25

Abstract: A central issue in claims reserving is the modelling of appropriate dependence structures. Most classical models cannot cope with this task. We define a multivariate log-normal model that allows to model both, dependence between different sub-portfolios and dependence within sub-portfolios such as claims inflation. In this model we derive closed form solutions for claims reserves and the corresponding prediction uncertainty.

Date: 2013
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