Modeling Dependence Between loss Triangles with Hierarchical Archimedean Copulas

Abstract One of the most critical problems in property/casualty insurance is to determine an appropriate reserve for incurred but unpaid losses. These provisions generally comprise most of the liabilities of a non-life insurance company. The global provisions are often determined under an assumption of independence between the lines of business. Recently, Shi and Frees (2011) proposed to put dependence between lines of …