modelling of multivariate loss reserving with contaminated generalizedbeta type-ii margins using copulas

In this paper, we consider the loss reserving problem based on a portfolioof dependent run-off triangles. we propose to use copula to capture the dependenceamong triangles. for each triangle, we employ the contaminated generalized beta typeii, a heavy tailed distribution, to model the marginal distribution of the loss paymentsin each triangle. we use the copulas clayton, frank, gumbel and gaussian and theanova and ancova models for the mean function. we apply the proposed modelsto the data set that consists of two lines of business (personal and commercial autolines) of paid losses data from the schedule p of the national association of insurancecommissioners (naic) database. based on a bayesian data analysis, we find that theanova model with the gaussian copula admits the best fitting performance. theancova model with the clayton copula has the best performance in terms of predictionaccuracy.