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Individual loss reserving with the multivariate skew normal framework

 
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<title>Individual loss reserving with the multivariate skew normal framework</title>
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<namePart>Pigeon, Mathieu</namePart>
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<abstract displayLabel="Summary">The evaluation of future cash flows and solvency capital recently gained importance in general insurance. To assist in this process, our paper proposes a novel loss reserving model, designed for individual claims developing in discrete time. We model the occurrence of claims, as well as their reporting delay, the time to the first payment, and the cash flows in the development process. Our approach uses development factors similar to those of the well-known chainladder method. We suggest the Multivariate Skew Normal distribution as a multivariate distribution suitable for modeling these development factors. Empirical analysis using a real portfolio and out-of-sample prediction tests demonstrate the relevance of the model proposed.</abstract>
<note type="statement of responsibility">Mathieu Pigeon, Katrien Antonio, Michel Denuit</note>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>02/09/2013 Volumen 43 Número 3 - septiembre 2013 </text>
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