Conditional least squares and copulae in claims reserving for a single line of business

One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims development. On contrary to the classical stochastic reserving techniques, the number of model parameters does not depend on the number of development periods, which leads to a more precise forecasting.

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Year of publication:	2014
Authors:	Pešta, Michal ; Okhrin, Ostap
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 56.2014, C, p. 28-37
Publisher:	Elsevier
Subject:	IM10 \| IM11 \| IM20 \| IM40 \| Claims reserving \| Reserve distribution \| Dependency modeling \| Copula \| Conditional least squares

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Type of publication:	Article
Classification:	C13 - Estimation ; C32 - Time-Series Models ; C33 - Models with Panel Data ; C53 - Forecasting and Other Model Applications ; G22 - Insurance; Insurance Companies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046677