Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments

Financial Innovation

Table 5 Correlation between the incurred claims in one LOB and the paid losses in another LOB

s	\(\rho _{s,(1,2)}\)	\(\rho _{s,(1,3)}\)	\(\rho _{s,(2,3)}\)	\(\rho _{s,(2,1)}\)	\(\rho _{s,(3,1)}\)	\(\rho _{s,(3,2)}\)
0	0.8516	0.7330	0.2565	0.8468	0.8955	0.7726
1	0.9300	0.8664	0.3760	0.6187	0.1728	0.1606
2	0.9167	0.8706	0.2085	0.7879	0.0989	0.0806
3	0.8410	0.8293	0.2835	0.7131	0.1431	0.0778
4	0.6476	0.6742	0.1866	0.6017	− 0.2140	− 0.2218
5	0.4647	0.5316	0.2608	0.2737	0.3906	0.1997
6	0.2275	0.3576	0.1987	0.3975	− 0.4481	− 0.4478
7	0.5999	0.6718	0.1190	0.4253	− 0.3561	− 0.3038
8	− 0.1515	− 0.1563	0.1829	0.3611	− 0.5471	− 0.3441
9	0.4622	0.5232	− 0.2366	0.6607	0.1483	0.1454
10	− 0.6822	− 0.7042	− 0.3315	0.4814	− 0.7999	− 0.7563