  There are growing concerns for reserves estimation of incurred but not
reported (IBNR) claims in actuarial sciences. In this paper, we propose a
copula-based dependency model to capture the relationship between two main IBNR
reserve variables, i.e., the time between two successive occurrences and delay
time. A maximum likelihood estimation method is used to estimate the parameters
of the model. A simulation study is conducted to evaluate the validity of the
theoretical results. Moreover, the proposed method is applied to predict the
number of claims for the next years of a portfolio from a major automobile
insurer and is compared to the classical CL model forecasting.
