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Dependence modelling in multivariate claims run-off triangles

Published online by Cambridge University Press:  05 September 2012

Michael Merz ,
Mario V. Wüthrich  and
Enkelejd Hashorva
Michael Merz
Affiliation:
University of Hamburg, Department of Business Administration, 20146 Hamburg, Germany
Mario V. Wüthrich*
Affiliation:
ETH Zurich, RiskLab, Department of Mathematics, 8092 Zurich, Switzerland
Enkelejd Hashorva
Affiliation:
University of Lausanne, Department of Actuarial Science, HEC, 1015 Lausanne, Switzerland
*
*Correspondence to: Mario V. Wüthrich, ETH Zurich, RiskLab, Department of Mathematics, 8092 Zurich, Switzerland. E-mail: mario.wuethrich@math.ethz.ch
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Abstract

A central issue in claims reserving is the modelling of appropriate dependence structures. Most classical models cannot cope with this task. We define a multivariate log-normal model that allows to model both, dependence between different sub-portfolios and dependence within sub-portfolios such as claims inflation. In this model we derive closed form solutions for claims reserves and the corresponding prediction uncertainty.

Keywords

Claims reservingRun-off trianglesMultivariate claims trianglesAccounting year effectsCalendar year effectsClaims inflation
Type
Papers
Information
Annals of Actuarial Science , Volume 7 , Issue 1: Special issue on Enterprise Risk Management , March 2013 , pp. 3 - 25
Copyright
Copyright © Institute and Faculty of Actuaries 2012

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