Modelling claim size in time via copulas

Pettere Gaida~Tonu Kollo, Lettonie

In the paper claims of a Latvian Insurance company are studied. The two investigated variables are claim size and time from the moment when claim occurred to the moment when the payment out has been made. Approximations to the distributions of both variables have been found as well as the bivariate distribution modelled using Archimedean copulas. IBNR claim reserves have been calculated using the bivariate Clayton copula model. The results are illustrated by graphs and tables.
Date: 29 May - Time: 16:30 to 18:00 - Room: 251
Theme: 1.A. Stochastic dependence