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arXiv · 2203.12750

Copula-based Modeling for IBNR Claim Loss Reserving

Samira Zaroudi·Mohammad Reza Faridrohani·Mohammad Hassan Behzadi·Hadi Safari-Katesari
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Abstract

There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve variables, i.e., the time between two successive occurrences and delay time. A maximum likelihood estimation method is used to estimate the parameters of the model. A simulation study is conducted to evaluate the validity of the theoretical results. Moreover, the proposed method is applied to predict the number of claims for the next years of a portfolio from a major automobile insurer and is compared to the classical CL model forecasting.

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Samira Zaroudi, Mohammad Reza Faridrohani, Mohammad Hassan Behzadi, Hadi Safari-Katesari. 2022-03-23. Copula-based Modeling for IBNR Claim Loss Reserving. https://arxiv.org/abs/2203.12750

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