C. Araiza Iturria-MSc Thesis Defence
Speaker: Mr. Carlos Araiza Iturrias (MSc)
Abstract: A stochastic approach to insurance risk modeling and measurement that is compliant with IFRS 17 is proposed. The compliance is achieved through the use of a rank-based hierarchical copula which accounts for the dependence between the various lines of business of the Canadian auto insurance industry. A model for the marginal IBNR losses of each line of business based on double generalized linear models is also developed. Development year and accident year effect factors along with an autoregressive feature for residuals enable modeling the dependence between the various entries of the IBNR loss triangles in a given line of business. Capital requirements calculations are then performed through simulation; numbers obtained with univariate and multivariate risk measures are compared. Moreover, a risk adjustment for non-financial risk required by IFRS 17 is also computed through a cost of capital approach.