论文标题
IBNR索赔损失保留的基于Copula的建模
Copula-based Modeling for IBNR Claim Loss Reserving
论文作者
论文摘要
越来越关注对精算科学的储备估计但未报告的估计（IBNR）主张。在本文中，我们提出了一个基于Copula的依赖模型，以捕获两个主要的IBNR储备变量之间的关系，即连续出现和延迟时间之间的时间。最大似然估计方法用于估计模型的参数。进行了仿真研究以评估理论结果的有效性。此外，提出的方法用于预测主要汽车保险公司的未来几年索赔数量，并将其与经典的CL模型预测进行比较。
There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve variables, i.e., the time between two successive occurrences and delay time. A maximum likelihood estimation method is used to estimate the parameters of the model. A simulation study is conducted to evaluate the validity of the theoretical results. Moreover, the proposed method is applied to predict the number of claims for the next years of a portfolio from a major automobile insurer and is compared to the classical CL model forecasting.
