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...

The cross-classified chain ladder has a number of versions, depending on the distribution to which observations are subject. The simplest case is that of Poisson distributed observations, and then maximum likelihood estimates of parameters are explicit.Most other cases, however, lead to implicit...

The purpose of the present paper has been to test whether loss reserving models that rely on claim count data can produce better forecasts than the chain ladder model (which does not rely on counts); better in the sense of being subject to a lesser prediction error.The question at issue has been...

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...

After some years of quiescence the Kable principle has again become active. This activity has merely revealed, however, that the emperor has no clothes. The doctrine is so vague as to be almost meaningless, and accordingly contradicts what is almost universally seen as an important limb of the...

This is a practical paper, concerned with certain existing industry practices used to factor large correlation matrices into estimates of variance of total portfolio liabilities, and hence into risk, and possibly capital margins, and the extent to which those practices are theoretically sound....

From 1890 to 1892, Sir Samuel Griffith, as Premier of Queensland, promoted a scheme under which Queensland would itself have been divided into a federation of initially three provinces — North, Central and South Queensland — and then two provinces, North and South Queensland. This startling...