IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v43y2013i01p1-20_00.html
   My bibliography  Save this article

Paid-Incurred Chain Reserving Method With Dependence Modeling

Author

Listed:
  • Happ, Sebastian
  • Wüthrich, Mario V.

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.

Suggested Citation

  • Happ, Sebastian & Wüthrich, Mario V., 2013. "Paid-Incurred Chain Reserving Method With Dependence Modeling," ASTIN Bulletin, Cambridge University Press, vol. 43(1), pages 1-20, January.
    • Handle: RePEc:cup:astinb:v:43:y:2013:i:01:p:1-20_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036112000049/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Peters, Gareth W. & Dong, Alice X.D. & Kohn, Robert, 2014. "A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 258-278.
    2. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2022. "Mack-Net model: Blending Mack's model with Recurrent Neural Networks," Papers 2205.07334, arXiv.org.
    3. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
    4. Yixing Zhao & Rogemar Mamon & Heng Xiong, 2021. "Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:43:y:2013:i:01:p:1-20_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.