Abdallah, Anas; Wang, Lan - In: Risks : open access journal 11 (2023) 11, pp. 1-37
The interdependence between multiple lines of business has an important impact on determining loss reserves and risk capital, which are crucial for the solvency of a property and casualty (P&C) insurance company. In this work, we introduce the two-stage inference method using the Sarmanov family...