Collective Loss Reserving with Two Types of Claims in Motor Third Party Liability Insurance

This paper adopts the new loss reserving approach proposed by Denuit and Trufin (2016), inspired from the collective model of risk theory. But instead of considering the whole set of claims as a collective, two types of claims are distinguished, those claims with relatively short development patterns and claims requiring longer developments. In each case, the total payment per cell is modelled by means of a Compound Poisson distribution with appropri- ate assumptions about the severities. A case study based on a motor third party liability insurance portfolio observed over 2004-2014 is used to illustrate the approach proposed in this paper. Comparisons with Chain-Ladder are performed and reveal significant differences in best estimates as well as in Value-at-Risk at high probability levels.

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Document type	Document de travail (Working Paper)
Access type	Accès libre
Publication date	2016
Language	Anglais
Number of pages	24 pages
Collection	ISBA Discussion Paper - 2016/29
Affiliation	UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords	general insurance ; reserving ; collective model ; mixture models ; GAMLSS ; solvency evaluation
Links	http://hdl.handle.net/2078.1/176388[Handle]

See also
	[boreal:195213]	Collective loss reserving with two types of claims in motor third party liability insurance