ASTIN: Individual Loss Reserving for Multi-Coverage Insurance

Individual loss reserving methods have undergone substantial development in the past decade, driven by increased access to granular-level insurance claims data. This research aims to propose a micro loss reserving model tailored for multi-coverage insurance policies, where a single insurance claim might trigger payments from multiple coverage types. A copula-based multivariate regression approach is employed to jointly model the settlement time and loss amount, effectively capturing the dependence among various types of loss amounts and their correlation with the settlement time. We stress the importance of considering both types of dependence for accurate reserving prediction and uncertainty quantification. Furthermore, we propose computationally efficient algorithms for parameter estimation and dynamic prediction. Through numerical experiments and real data analysis, we demonstrate the effectiveness of the proposed multivariate predictive model in loss reserving applications.

Speaker: Roxane Turcotte
Dr. Roxane Turcotte is an Assistant Professor of Actuarial Science at Université du Québec à Montréal. Her research focuses on non-life insurance, with particular interests in loss modeling, ratemaking, reserving, and predictive analytics. She is especially interested in dependence modeling and the development of interpretable semiparametric models. Her work has been published in leading actuarial journals, including ASTIN Bulletin and the North American Actuarial Journal. She enjoys collaborating with academic and industry partners to address emerging challenges in insurance.

Session moderator: Joana Gregório Raposo

Joana Gregório Raposo is a Portuguese senior non-life actuary currently based in Luxembourg, part of the Commissariat aux Assurances. She holds a bachelor's degree in Mathematics Applied to Economics and Management and a master's degree in Actuarial Science, both from ISEG - UL (Lisbon, Portugal). She is a qualified actuary, member of the following institutes: IAP (PT), IFoA (UK), SoAI (IE) and ILAC (LU). She has over eleven years of experience in actuarial topics, including pension funds in the UK and Irish markets, (re)insurance for life and non-life, Solvency II, IFRS 17, technical provisions under different bases, pricing and regulation.