PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING

Sebastian Happ and Mario V. Wüthrich

ASTIN Bulletin, 2013, vol. 43, issue 1, 1-20

Abstract: The paid-incurred chain (PIC) reserving method is a claims reserving method that allows to combine claims payments and incurred losses information in a mathematical consistent way. The main criticism on the original Bayesian log-normal PIC model presented in Merz–Wüthrich [5] is that it does not respect dependence properties within the observed data. In the present paper, we extend the original Bayesian log-normal PIC model so that dependence is modeled in an appropriate way.

Date: 2013
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