Prediction of reserves using multivariate power-normal mixture distribution

Abstract

Recently, in the area on stochastic loss reserving, there are a number of papers which analyze the individual claims data using the Position Dependent Marked Poisson Process. The present paper instead uses a different type of individual data. For the i-th (1 ≤ i ≤ n) customer, these individual data include the sum insured i s together with the amount