Copula-based Modeling for IBNR Claim Loss Reserving

Abstract

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.