Title: Individual loss reserving with the multivariate skew normal framework
Authors: Pigeon, Mathieu ×
Antonio, Katrien
Denuit, Michel #
Issue Date: 2013
Series Title: Astin Bulletin vol:43 issue:3 pages:399-428
Abstract: The evaluation of future cash flows and solvency capital recently gained importance in general insurance. To assist in this process, our paper proposes a novel loss reserving model, designed for individual claims developing in discrete
time. We model the occurrence of claims, as well as their reporting delay, the time to the first payment, and the cash flows in the development process. Our approach uses development factors similar to those of the well-known chain–ladder method.We suggest the Multivariate Skew Normal distribution as a multivariate distribution suitable for modeling these development factors. Empirical analysis using a real portfolio and out-of-sample prediction tests demonstrate the relevance of the model proposed.
ISSN: 0515-0361
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

Files in This Item:
File Description Status SizeFormat
IndividualLossReserving.pdf Published 1051KbAdobe PDFView/Open Request a copy

These files are only available to some KU Leuven Association staff members


All items in Lirias are protected by copyright, with all rights reserved.

© Web of science