A censored copula model for micro-level claim reserving

Olivier Lopez (1)

1 LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation

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.

Mots clés: Claim reserving; copula models; Kaplan-Meier estimator; censoring

Domaines: Statistiques [math.ST]

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⟩