Open AccessEstimation Claims Reserving Based on Archimedean Copula
Author(s) -
Lienda Noviyanti,
Rawyanil ‘Afifah,
Achmad Zanbar Soleh,
Anna Chadidjah
Publication year - 2019
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1306/1/012013
Subject(s) - copula (linguistics) , payment , actuarial science , econometrics , estimation , economics , mathematics , finance , management
The problem of how to estimate appropriate incurred but not reported (IBNR) claims reserving has always been among critical problem in general insurance. Estimating of claims reserving is required to increase the optimal service for policyholders. This value should always be available during the period of payment of claims. Its imprecision estimates could destabilize the insurance company. In general, the process of settlement a claim always appear time-lag among claims occurrence, claims reporting and claims payment. Different time-lags formed into the matrix of the Run-off Triangle. Practitioners still perform the chain-ladder method, one of the oldest actuarial literature. This condition is not realistic because the two investigated variables are claim size and time from the moment when claim occurred to the moment when the payment has been reported are correlated. The aim of this study is therefore to use the Archimedean Copula to estimate outstanding IBNR claims reserving. This method gives the estimated value of which is more suitable for fire insurance than the chain-ladder method classics.