Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects of loss data. This is recognised in practice in the sense that results from different models are...

Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture structural dependence coming from known relationships. In addition, it helps with the parsimonious construction of...

When calculating the risk margins of a company with multiple Lines of Business–typically, a quantile in the right tail of an aggregate loss, assumptions about the dependence structure between the different Lines are crucial. Many current multivariate reserving methodologies focus on aggregated...

In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows for dynamic features of claims activity in conjunction with dependency across business lines to accurately assess claims reserves. We extend the traditional GLM...

The paper is concerned with multiple claim arrays. We construct a broad and flexible family of models, where dependency is induced by common shock components. Models incorporate dependencies between observations both within arrays and between arrays. Arrays are of general shape (possibly with...

This paper is concerned with dependency between business segments in the Property & Casualty industry. When considering the business of an insurance company at the aggregate level, dependence structures can have a major impact in several areas of Enterprise Risk Management, such as in claims...