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A Bayesian copula model for stochastic claims reserving

Luca Regis ()

No 227, Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: We present a full Bayesian model for assessing the reserve requirement of multiline Non-Life insurance companies. Bayesian models for claims reserving allow to account for expert knowledge in the evaluation of Outstanding Loss Liabilities, allowing the use of additional information at a low cost. This paper combines a standard Bayesian approach for the estimation of marginal distribution for the single Lines of Business for a Non-Life insurance company and a Bayesian copula procedure for the estimation of aggregate reserves. The model we present allows to "mix" own-assessments of dependence between LoBs at a company level and market-wide estimates provided by regulators. We illustrate results for the single lines of business and we compare standard copula aggregation for different copula choices and the Bayesian copula approach.

Keywords: stochastic claims reserving; bayesian copulas; solvency capital requirement; loss reserving; bayesian methods (search for similar items in EconPapers)
JEL-codes: C11 G22 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2011
New Economics Papers: this item is included in nep-ecm
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