A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving

DOI10.1016/j.insmatheco.2014.09.011zbMath1306.91085arXiv1210.3849OpenAlexW2964248485MaRDI QIDQ2514626

A. X. D. Dong, Gareth W. Peters, Robert Kohn

Publication date: 3 February 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.3849

zbMATH Keywords

adaptive Markov chain Monte Carlochain ladderclaims reserving

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Bayesian inference (62F15)

Related Items

Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective ⋮ COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES

Uses Software

• nacopula

Cites Work

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• Pair-copula constructions of multiple dependence
• Likelihood inference for Archimedean copulas in high dimensions under known margins
• Paid-incurred chain claims reserving method
• Chain ladder method: Bayesian bootstrap versus classical bootstrap
• Using expected loss ratios in reserving
• An introduction to copulas.
• Componentwise adaptation for high dimensional MCMC
• Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation
• Model selection and adaptive Markov chain Monte Carlo for Bayesian cointegrated VAR models
• Copula–Based Models for Financial Time Series
• PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING