Stochastic claims reserving via a Bayesian spline model with random loss ratio effects

DOI10.1017/ASB.2017.19MaRDI QIDQ5745188zbMATH OpenOpenAlexFDO

Authors Guangyuan Gao, Shengwang Meng

Publication date 5 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2017.19

zbMATH Keywords

Bayesian modelingHamiltonian Monte Carlonatural cubic splinestochastic claims reservingtail factor

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• An improved acceptance procedure for the hybrid Monte Carlo algorithm
• An introduction to statistical learning. With applications in R
• Bayesian data analysis.
• Claims reserving and generalised additive models
• Equation of state calculations by fast computing machines
• Generalized additive models. An introduction with R.
• Generalized double Pareto shrinkage
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• Modelling claims run-off with reversible jump Markov chain Monte Carlo methods
• Monte Carlo sampling methods using Markov chains and their applications
• Pattern recognition and machine learning.
• Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving
• Semiparametric Regression
• Stochastic claims reserving methods in insurance
• The Bayesian Lasso
• The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo
• The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(11)

• Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping
• Claims Reserving in Non-life Insurance: A Fully Bayesian Model
• Claims Reserving with a Stochastic Vector Projection
• scientific article; zbMATH DE number 6971102 (Why is no real title available?)
• Semiparametric regression for dual population mortality
• scientific article; zbMATH DE number 7247625 (Why is no real title available?)
• A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
• Stochastic payments per claim incurred
• Claims Reserving with a Robust Generalized Additive Model
• An Effective Bayesian GLM Approach for IBNR Claim Count Estimation
• Kernel Poisson regression machine for stochastic claims reserving

Describes a project that uses

Uses Software

• SemiPar
• gamair
• WinBUGS
• BayesDA
• PRMLT
• Stan
• ElemStatLearn

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