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A censored copula model for micro-level claim reserving

Olivier Lopez

Insurance: Mathematics and Economics, 2019, vol. 87, issue C, 1-14

Abstract: In this paper, we consider the question of predicting the final amount of a claim and its distribution from micro-level data. A copula model is used to describe the dependence between the amount of a claim and its duration (that is the time between its occurrence and its closure). Due to the presence of censoring, we adapt classical methodologies using a weighting scheme that corrects the bias caused by this incompleteness in the data. Theoretical results and simulation support the validity of the procedure. A real case coming from medical malpractice claims is presented.

Keywords: Claim reserving, copula models, Kaplan–Meier estimator, censoring (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:insuma:v:87:y:2019:i:c:p:1-14