Year: 2026
Type: article
Abstract: Individual loss reserving methods have undergone substantial development in the past decade, driven by increased accessibility to granular-level insurance claims data. This paper presents a micro loss reserving model tailored for multi-coverage insurance policies, where a single insurance claim might trigger payments from multiple coverage types. We employ a copula-based multivariate regression approach to jointly model the settlement time and loss amount, effectively capturing the dependence among various types of loss amounts and their correlation with the settlement time. We stress the importance of considering both types of dependence for accurate reserving prediction and uncertainty quantification. Furthermore, we propose computationally efficient algorithms for parameter estimation and dynamic prediction. Through numerical experiments and real data analysis, we demonstrate the effectiveness of our proposed multivariate predictive model in loss reserving applications.
Source: Astin Bulletin
Authors: Roxane Turcotte, Peng Shi
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,550
OpenAlex ID: W7128999008