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Turcotte, Roxane, Hélène Cossette, and Mathieu Pigeon. 2021. “Working with a Parametric Copula-Based Model for Individual Non-Life Loss Reserving.” Variance 14 (2).
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  • Figure 1. Typical development pattern of a claim in non-life insurance
  • Figure 2. Predictive distribution based on a normal copula for AB (left) and BI (right) claims
  • Figure 3. Predictive distribution based on a Student copula for BI (left) and APD (right) claims

Abstract

In this paper, we propose a generalization of the individual loss reserving model introduced by Pigeon et al. (2013) considering a discrete time framework for claims development. We use a copula to model the potential dependence within the development structure of a claim, which allows a wide variety of marginal distributions. We also add a specific component to consider claims closed without payment. We provide a case study based on a detailed personal auto insurance data set from a North American insurance company.

Accepted: June 16, 2020 EDT