A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving

Gareth W. Peters, Alice X.D. Dong and Robert Kohn ()

Insurance: Mathematics and Economics, 2014, vol. 59, issue C, 258-278

Abstract: Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of hierarchical Bayesian paid–incurred claims models, combining the claims reserving models of Hertig (1985) and Gogol (1993). In the process we extend the independent log-normal model of Merz and Wüthrich (2010) by incorporating different dependence structures using a Data-Augmented mixture Copula paid–incurred claims model.

Keywords: Chain ladder; Claims reserving; Adaptive Markov chain Monte Carlo (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:59:y:2014:i:c:p:258-278

DOI: 10.1016/j.insmatheco.2014.09.011

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