Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach

Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong

Insurance: Mathematics and Economics, 2016, vol. 71, issue C, 63-78

Abstract: Stochastic loss reserving with dependence has received increased attention in the last decade. A number of parametric multivariate approaches have been developed to capture dependence between lines of business within an insurer’s portfolio. Motivated by the richness of the Tweedie family of distributions, we propose a multivariate Tweedie approach to capture cell-wise dependence in loss reserving. This approach provides a transparent introduction of dependence through a common shock structure. In addition, it also has a number of ideal properties, including marginal flexibility, transparency, and tractability including moments that can be obtained in closed form. Theoretical results are illustrated using both simulated data sets and a real data set from a property-casualty insurer in the US.

Keywords: Stochastic loss reserving; Dependence; Multivariate Tweedie distribution; Common shock; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:71:y:2016:i:c:p:63-78

DOI: 10.1016/j.insmatheco.2016.08.006

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