Bayesian Claims Reserving Methods in Non-life Insurance with Stan
An Introduction
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Beschreibung
This book first provides a review of various aspects of Bayesian statistics. It then investigates three types of claims reserving models in the Bayesian framework: chain ladder models, basis expansion models involving a tail factor, and multivariate copula models. For the Bayesian inferential methods, this book largely relies on Stan, a specialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes.
This book first provides a review of various aspects of Bayesian statistics. It then investigates three types of claims reserving models in the Bayesian framework: chain ladder models, basis expansion models involving a tail factor, and multivariate copula models. For the Bayesian inferential methods, this book largely relies on Stan, a specialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes.
The first book provides explicit Stan code for non-life claims reserving The book has a thorough review of many aspects of Bayesian statistics, and relates them to claims reserving problem The book addresses three important points in claims reserving: proposing a stochastic payments per claim incurred model (Section 4), estimating the tail factor via basis expansion models (Section 5), and aggregating claims liabilities by copulas (Section 6)
Autor*in
Guangyuan Gao
Themen in »Bayesian Claims Reserving Methods in Non-life Insurance with Stan«
Non-life insurance claims reserving models Bayesian claims reserving models Basis expansion models Payments per claim incurred method Multivariate claims reserving model Markov chain Monte Carlo methods Stan Copulas