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In this paper, we consider the question of predicting the final amount of a claim and its distribution from micro-level data. A copula model is used to describe the dependence… Click to show full abstract
In this paper, we consider the question of predicting the final amount of a claim and its distribution from micro-level data. A copula model is used to describe the dependence between the amount of a claim and its duration (that is the time between its occurrence and its closure). Due to the presence of censoring, we adapt classical methodologies using a weighting scheme that corrects the bias caused by this incompleteness in the data. Theoretical results and simulation support the validity of the procedure. A real case coming from medical malpractice claims is presented.
Journal Title: Insurance: Mathematics and Economics
Year Published: 2019
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