Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving

DOI10.1080/10920277.2012.10590639MaRDI QIDQ5168693zbMATH OpenOpenAlexFDO

Authors Richard 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

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A generalized linear model with smoothing effects for claims reserving
• Bayesian Statistical Modelling
• Credibility for the Chain Ladder Reserving Method
• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Model uncertainty in claims reserving within Tweedie's compound Poisson models
• Monte Carlo sampling methods using Markov chains and their applications
• Recursive credibility formula for chain ladder factors and the claims development result
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Stochastic claims reserving methods in insurance

Cited in

(8)

• Modelling claims run-off with reversible jump Markov chain Monte Carlo methods
• 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
• Stochastic payments per claim incurred
• Stochastic claims reserving via a Bayesian spline model with random loss ratio effects
• Ensemble Economic Scenario Generators: Unity Makes Strength
• Joint estimation of insurance loss development factors using Bayesian hidden Markov models
• Time-consistent actuarial valuations
• Parameter reduction in log-normal chain-ladder models

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