Conditional least squares and copulae in claims reserving for a single line of business

Michal Pešta and Ostap Okhrin

Insurance: Mathematics and Economics, 2014, vol. 56, issue C, 28-37

Abstract: One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims development. On contrary to the classical stochastic reserving techniques, the number of model parameters does not depend on the number of development periods, which leads to a more precise forecasting.

Keywords: IM10; IM11; IM20; IM40; Claims reserving; Reserve distribution; Dependency modeling; Copula; Conditional least squares (search for similar items in EconPapers)
JEL-codes: C13 C32 C33 C53 G22 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668714000249
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:56:y:2014:i:c:p:28-37

DOI: 10.1016/j.insmatheco.2014.02.007

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().