par Denuit, Michel ;Trufin, Julien
Référence Journal of computational and applied mathematics, 335, page (168-184)
Publication Publié, 2018-01-01
Article révisé par les pairs
Résumé : This paper adopts the new loss reserving approach proposed by Denuit and Trufin (2016),inspired from the collective model of risk theory. But instead of considering the whole setof claims as a collective, two types of claims are distinguished, those claims with relativelyshort development patterns and claims requiring longer developments. In each case, thetotal payment per cell is modelled by means of a Compound Poisson distribution withappropriate assumptions about the severities. A case study based on a motor third partyliability insurance portfolio observed over 2004–2014 is used to illustrate the approachproposed in this paper. Comparisons with Chain-Ladder are performed and reveal significantdifferences in best estimates as well as in Value-at-Risk at high probability levels.