This afternoon, I will give a talk at the seminar of the R&D department at Desjardins General Insurance, on correlation in claims reserving. A lot of interesting papers have been published recently on that topic. On multivariate Chain Ladder, some interesting articles have been published, e.g. the one by Carsten Prohl and Klaus Schmidt (here) or the one by Michael Merz and Mario Wuthrich (there).
But I think another interesting perspective (so far, not in claims reserving, but one should find some time to look at it) should be about multivariate regression (multivariate GLM’s), e.g.
All that will be mentioned in the talk. Slides can be downloaded here,
The dataset used in the example can be obtained with the code below
> P.corp=read.table("http://freakonometrics.blog.free.fr/public/data/auto-corporel.csv", + header=FALSE,sep=";",na.strings = "NA",dec=",") > P.corp=as.matrix(P.corp) > n=nrow(P.corp) > P.mat =read.table("http://freakonometrics.blog.free.fr/public/data/auto-materiel.csv", + header=FALSE,sep=";",na.strings = "NA",dec=",") > P.mat=as.matrix(P.mat) > P.mat=P.mat[1:n,1:n] > P.mat = P.mat[2:10,1:9] > P.corp= P.corp[2:10,1:9] > n=9 > P.tot = P.mat + P.corp