Findings from University of Montreal in the Area of Insurance Economics Described (Stochastic loss reserving with dependence: A flexible multivariate…

Insurance Weekly News

Findings from University of Montreal in the Area of Insurance Economics Described (Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators publish new report on Economics - Insurance Economics. According to news reporting out of Montreal, Canada, by VerticalNews editors, research stated, "Stochastic loss reserving with dependence has received increased attention in the last decade. A number of parametric multivariate approaches have been developed to capture dependence between lines of business within an insurer's portfolio."

Funders for this research include Australian Research Council, University International Postgraduate Award, UNSW Business School, Natural Science and Engineering Research Council of Canada.

Our news journalists obtained a quote from the research from the University of Montreal, "Motivated by the richness of the Tweedie family of distributions, we propose a multivariate Tweedie approach to capture cell-wise dependence in loss reserving. This approach provides a transparent introduction of dependence through a common shock structure. In addition, it also has a number of ideal properties, including marginal flexibility, transparency, and tractability including moments that can be obtained in closed form."

According to the news editors, the research concluded: "Theoretical results are illustrated using both simulated data sets and a real data set from a property-casualty insurer in the US."

For more information on this research see: Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach. Insurance Mathematics & Economics, 2016;71():63-78. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news journalists report that additional information may be obtained by contacting B. Avanzi, University of Montreal, Dept. of Math & Stat, Montreal, PQ H3T 1J4, Canada. Additional authors for this research include G. Taylor, P.A. Vu and B. Wong.

Keywords for this news article include: Montreal, Quebec, Canada, North and Central America, Insurance Economics, Economics, University of Montreal.