INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK

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 report...

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Veröffentlicht in:	ASTIN Bulletin : The Journal of the IAA 2013-09, Vol.43 (3), p.399-428
Hauptverfasser:	Pigeon, Mathieu, Antonio, Katrien, Denuit, Michel
Format:	Artikel
Sprache:	eng
Schlagworte:	Actuarial science Normal distribution
Online-Zugang:	Volltext
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