Copula-based modeling for IBNR claim loss reserving
نویسندگان
1 Department of Statistics, Faculty of Mathematical Sciences, Shahid Beheshti University, Tehran, Iran
2 Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ 07030, USA
3 School of Mathematical and Statistical Sciences, Southern Illinois University Carbondale, IL 62901, USA
4 Department of Statistics, Science and Research Islamic Azad University, Tehran, Iran
doi
10.24200/sci.2021.54706.3878چکیده
There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarialsciences. In this paper, we propose a copula-based dependency model to capture the relationship betweentwo main IBNR reserve variables, i.e., the “time between two successive occurrences” and “delay time”.A maximum likelihood estimation (MLE) method is used to estimate the parameters of the model. Asimulation study is conducted to evaluate the validity of the theoretical results. Moreover, the proposedmethod is applied to predict the number of claims for the next years of a portfolio from a major automobileinsurer and is compared to the classical Chain Ladder model forecasting.
