PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING

The paid-incurred chain (PIC) reserving method is a claims reserving method in general insurance that allows to combine claims payments and incurred losses information in a mathematical consistent way. The main criticism on the original Bayesian log-normal PIC model presented in Merz-Wuthrich [IME, 2010] is that it does not respect dependence properties within the observed data. In the present paper, we extend the original Bayesian log-normal PIC model so that dependence is modeled in an appropriate way.