Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving
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Publication:5168693
DOI10.1080/10920277.2012.10590639zbMath1291.91239OpenAlexW2132427883MaRDI QIDQ5168693
Richard J. Verrall, Mario V. Wüthrich
Publication date: 19 July 2014
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/3802/1/RJMCMC.pdf
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Related Items (6)
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 ⋮ Ensemble Economic Scenario Generators: Unity Makes Strength ⋮ Time-consistent actuarial valuations ⋮ Parameter reduction in log-normal chain-ladder models ⋮ Stochastic Payments per Claim Incurred ⋮ STOCHASTIC CLAIMS RESERVING VIA A BAYESIAN SPLINE MODEL WITH RANDOM LOSS RATIO EFFECTS
Cites Work
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- A generalized linear model with smoothing effects for claims reserving
- Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
- Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
- Bayesian Statistical Modelling
- Credibility for the Chain Ladder Reserving Method
- Monte Carlo sampling methods using Markov chains and their applications
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