Reserve Risk Dependencies under Solvency II and IFRS 4 perspective

In modern times, in particular under Solvency II, SST and IFRS 4 perspective, it is required to specify the uncertainty corresponding to the estimation of the expectation of the outstanding liabilities reserving. In order to do that often some assumptions about the distribution of the estimated losses are made and the actuaries estimate the corresponding parameters, for instance one assumes a Lognormal distribution and estimates the mean and the variance. For a single portfolio this has been studied by several authors. In this article we want to look at collections of portfolios, use Linear-Stochastic-Reserving-Methods (LSRMs) to couple them in an often natural way and estimate the covariance matrix of the corresponding reserve risk.