Abstract
There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarialsciences. In this paper, we propose a copula-based dependency model to capture the relationship betweentwo main IBNR reserve variables, i.e., the “time between two successive occurrences” and “delay time”.A maximum likelihood estimation (MLE) method is used to estimate the parameters of the model. Asimulation study is conducted to evaluate the validity of the theoretical results. Moreover, the proposedmethod is applied to predict the number of claims for the next years of a portfolio from a major automobileinsurer and is compared to the classical Chain Ladder model forecasting.
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