A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims

DOI10.1214/20-ba1243OpenAlexW3086495770MaRDI QIDQ6121611

Marie-Pier Côté, David A. Stephens, Christian Genest

Publication date: 27 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/bayesian-analysis/volume-17/issue-1/A-Bayesian-Approach-to-Modeling-Multivariate-Multilevel-Insurance-Claims-in/10.1214/20-BA1243.full

zbMATH Keywords

copulacorrelationBayesian modelimputationcensored datainsurance claimFernández-Steel skewed normalmultinomial and logistic regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

Individual claims reserving using activation patterns

Cites Work

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• Efficient Bayesian inference for Gaussian copula regression models
• Multilevel modeling of insurance claims using copulas
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• The Calculation of Posterior Distributions by Data Augmentation
• On Bayesian Modeling of Fat Tails and Skewness
• A copula‐based risk aggregation model
• Hierarchical Insurance Claims Modeling
• Bayesian correlation estimation

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