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karimkarimu
October 16th 2014, 10:37 AM
Hello Everyone,

I'm a currently working on an internal model in the Solvency II framework concerning reserve risk.

We are looking for ideas on simple ways on how to estimate historical correlations between accident years for a given incurred triangle. If you have any ideas, I'm intersted.

Thank you in advance.

Iņaki Viggers
October 16th 2014, 04:54 PM
Karim,

Primarily you glance at -or plot- the aggregates trying to identify any patterns. Depending on the line of business, the number of years in the data set, the frequency, timing and magnitude of reverse cash flows, etc, you might need to resort to heavier tail factors. You must make sure that your data set is consistent in processing the exposure units. The question is too broad, so pretty much any advice at this point will sound trivial.