Stochastic Modeling of Reserve Uncertainty: Univariate and Bivariate Approaches in the Egyptian General Insurance Market

نوع المستند : المقالة الأصلية

المؤلفون

Department of insurance and actuarial science, Cairo University

10.21608/cfdj.2025.389723.2279

المستخلص

This study focuses on estimating and comparing reserve risk uncertainty using two actuarial approaches: the univariate stochastic Mack model and the bivariate stochastic chain ladder model. The analysis is applied to three major lines of business; motor, medical, and fire in an Egyptian general insurance company by utilizing R-program during the period from 2015 to 2024. The stochastic Mack model is used independently on each line to assess the reserve estimate and its associated uncertainty. Then, a bivariate stochastic chain ladder model is employed incorporating two lines of business. This bivariate approach enables actuaries to capture the inherent dependencies across different lines, resulting in more accurate and robust reserve estimates. By joint modeling, a better understanding of reserve dynamics allowing for the quantification of diversification benefits is provided. The findings demonstrate that recognizing cross-line dependencies result in less uncertainty estimates of reserves, which could improve the predictive performance and provide a more realistic assessment of reserve risk.

الكلمات الرئيسية

المجلة العلمية للدراسات والبحوث المالية والتجارية
المجلد 6، العدد 2 - الرقم المسلسل للعدد 1
المجلد السادس؛ العدد الثاني؛ الجزء الأول؛ يوليو 2025
يوليو 2025
الصفحة 871-894

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