A Bayesian Log-Normal Model for Multivariate Loss Reserving

DOI10.1080/10920277.2012.10590631zbMath1291.91126OpenAlexW1982763379MaRDI QIDQ5168689

Sanjib Basu, Glenn Meyers, Peng Shi

Publication date: 19 July 2014

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2012.10590631

Mathematics Subject Classification ID

Related Items (27)

Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach ⋮ Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ A marked Cox model for the number of IBNR claims: theory ⋮ BAYESIAN CHAIN LADDER MODELS ⋮ CREDIBILITY CLAIMS RESERVING WITH STOCHASTIC DIAGONAL EFFECTS ⋮ MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS ⋮ EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS ⋮ BAYESIAN ANALYSIS OF BIG DATA IN INSURANCE PREDICTIVE MODELING USING DISTRIBUTED COMPUTING ⋮ Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Modeling accounting year dependence in runoff triangles ⋮ An incremental loss ratio method using prior information on calendar year effects ⋮ Assessing inflation risk in non-life insurance ⋮ Parameter reduction in log-normal chain-ladder models ⋮ A review of Bayesian asymptotics in general insurance applications ⋮ Continuous chain-ladder with paid data ⋮ Credibility in Loss Reserving ⋮ Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis ⋮ Prediction error for credible claims reserves: an \(h\)-likelihood approach ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ⋮ APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING ⋮ A COPULA REGRESSION FOR MODELING MULTIVARIATE LOSS TRIANGLES AND QUANTIFYING RESERVING VARIABILITY ⋮ COMMON SHOCK MODELS FOR CLAIM ARRAYS ⋮ Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping ⋮ A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving ⋮ A non-convex regularization approach for stable estimation of loss development factors ⋮ Rank-based methods for modeling dependence between loss triangles

Cites Work

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• Paid-incurred chain claims reserving method
• A general multivariate chain ladder model
• Multivariate loss prediction in the multivariate additive model
• Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
• Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method
• IBNR-claims and the two-way model of ANOVA
• Bayesian Analysis of Proportional Hazards Models Built from Monotone Functions
• A Bayesian Formulation of Exploratory Data Analysis and Goodness‐of‐fit Testing*
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
• Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
• A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving

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