Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model

Ioannis Badounas and Georgios Pitselis
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Ioannis Badounas: Department of Statistics and Insurance Science, University of Piraeus, 18534 Piraeus, Greece
Georgios Pitselis: Department of Statistics and Insurance Science, University of Piraeus, 18534 Piraeus, Greece

Risks, 2020, vol. 8, issue 1, 1-26

Abstract: In this paper, we consider a loss reserving model for a general insurance portfolio consisting of a number of correlated run-off triangles that can be embedded within the quantile regression model for longitudinal data. The model proposes a combination of the between- and within-subportfolios (run-off triangles) estimating functions for regression parameter estimation, which take into account the correlation and variation of the run-off triangles. The proposed method is robust to the error correlation structure, improves the efficiency of parameter estimators, and is useful for the estimation of the reserve risk margin and value at risk (VaR) in actuarial and finance applications.

Keywords: quantile regression; loss reserving; robust estimators (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:8:y:2020:i:1:p:14-:d:315997

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