Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258064 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 4 [Article No.:] 111 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-23
Publisher: 
MDPI, Basel
Abstract: 
This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles, especially when an insurance portfolio consists of more than two lines of business. First, we suggest a way to choose an optimal joint loss development model for multiple lines of business that considers marginal distribution, vine copula structure, and choice of family for each pair of copulas. The performance of the model is also demonstrated with Bayesian model diagnostics and out-of-sample validation measures. Finally, we provide an implication of the dependence modeling, which allows a company to analyze and establish the risk capital for whole portfolio.
Subjects: 
Bayesian inference
model selection
multi-line reserving
property and casualty insurance
vine copula
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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