Ratemaking for Emerging Liabilities in Property & Casualty Insurance: Practical Tools and Enriching Imagination

2016 ◽  
Author(s):  
Syed Danish Ali
Keyword(s):  
Property Casualty

The Economics of Property-Casualty Insurance

2000 ◽  
Vol 67 (2) ◽  
pp. 312
Author(s):  
Barry D. Smith ◽  
David F. Bradford
Keyword(s):  
Property Casualty

Law and the Determinants of Property‐Casualty Insurance

2004 ◽  
Vol 71 (2) ◽  
pp. 265-283 ◽  
Author(s):  
Neil Esho ◽  
Anatoly Kirievsky ◽  
Damian Ward ◽  
Ralf Zurbruegg
Keyword(s):  
Property Casualty

MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS

2015 ◽  
Vol 45 (3) ◽  
pp. 577-599 ◽  
Author(s):  
Anas Abdallah ◽  
Jean-Philippe Boucher ◽  
Hélène Cossette
Keyword(s):  
Life Insurance ◽  
Bootstrap Method ◽  
Dependence Structure ◽  
Insurance Company ◽  
Archimedean Copulas ◽  
Life Insurance Company ◽  
Critical Problems ◽  
Intuitive Interpretation ◽  
Property Casualty

AbstractOne of the most critical problems in property/casualty insurance is to determine an appropriate reserve for incurred but unpaid losses. These provisions generally comprise most of the liabilities of a non-life insurance company. The global provisions are often determined under an assumption of independence between the lines of business. Recently, Shi and Frees (2011) proposed to put dependence between lines of business with a copula that captures dependence between two cells of two different runoff triangles. In this paper, we propose to generalize this model in two steps. First, by using an idea proposed by Barnett and Zehnwirth (1998), we will suppose a dependence between all the observations that belong to the same calendar year (CY) for each line of business. Thereafter, we will then suppose another dependence structure that links the CYs of different lines of business. This model is done by using hierarchical Archimedean copulas. We show that the model provides more flexibility than existing models, and offers a better, more realistic and more intuitive interpretation of the dependence between the lines of business. For illustration, the model is applied to a dataset from a major US property-casualty insurer, where a bootstrap method is proposed to estimate the distribution of the reserve.

scholarly journals Forecasting The Pricing Kernel of IBNR Claims Development In Property-Casualty Insurance

2021 ◽  
Author(s):  
Godfrey Cadogan
Keyword(s):  
Pricing Kernel ◽  
Property Casualty

Forecasting The Pricing Kernel of IBNR Claims Development In Property-Casualty Insurance

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