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Article Dans Une Revue Insurance: Mathematics and Economics Année : 2019

A censored copula model for micro-level claim reserving

Résumé

In this paper, we consider the question of predicting the final amount of a claim and its distribution from micro-level data. A copula model is used to describe the dependence between the amount of a claim and its duration (that is the time between its occurence and its closure). Due to the presence of censoring, we adapt classical methodologies using a weighting scheme that corrects the bias caused by this in-completeness in the data. Theoretical results and simulation support the validity of the procedure. A real case coming from medical malpractice claims is presented.
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Dates et versions

hal-01706935 , version 1 (12-02-2018)

Identifiants

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Olivier Lopez. A censored copula model for micro-level claim reserving. Insurance: Mathematics and Economics, 2019, pp.1-14. ⟨10.1016/j.insmatheco.2019.04.001⟩. ⟨hal-01706935⟩
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