Article: article from journal or magazin.
Dependence modelling in multivariate claims run-off triangles
Annals of Actuarial Science
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.
Claims reserving, Run-off triangles, Multivariate claims triangles, Accounting year effects, Calendar year effects, Claims inflation
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