Working with a Parametric Copula-Based Model for Individual Non-Life Loss Reserving

In this paper, we propose a generalization of the individual loss reserving model introduced by Pigeon et al. (2013) considering a discrete time framework for claims development. We use a copula to model the potential dependence within the development structure of a claim, which allows a wide variety of marginal distributions. We also add a specific component to consider claims closed without payment. We provide a case study based on a detailed personal auto insurance data set from a North American insurance company.