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PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING

Published online by Cambridge University Press:  29 April 2013

Sebastian Happ
Affiliation:
Department of Business Administration, University of Hamburg, 20146 Hamburg, Germany
Mario V. Wüthrich
Affiliation:
Department of Mathematics, ETH Zurich, RiskLab, 8092 Zurich, Switzerland

Abstract

The paid-incurred chain (PIC) reserving method is a claims reserving method that allows to combine claims payments and incurred losses information in a mathematical consistent way. The main criticism on the original Bayesian log-normal PIC model presented in Merz–Wüthrich [5] is that it does not respect dependence properties within the observed data. In the present paper, we extend the original Bayesian log-normal PIC model so that dependence is modeled in an appropriate way.

Type
Research Article
Copyright
Copyright © ASTIN Bulletin 2013

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