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Modelling claims run off with reversible jump markov chain Monte Carlo methods
Stockholm University, Faculty of Science, Department of Mathematics.
Stockholm University, Faculty of Science, Department of Mathematics.
2012 (English)In: Astin Bulletin: Actuarial Studies in Non-Life Insurance, ISSN 0515-0361, E-ISSN 1783-1350, Vol. 42, no 1, 35-58 p.Article in journal (Refereed) Published
Abstract [en]

In this paper we describe a new approach to modelling the development of claims run-off triangles. This method replaces the usual ad hoc practical process of extrapolating a development pattern to obtain tail factors with an objective procedure. An example is given, illustrating the results in a practical context, and the WinBUGS code is supplied.

Place, publisher, year, edition, pages
2012. Vol. 42, no 1, 35-58 p.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:su:diva-81800ISI: 000309081000002OAI: oai:DiVA.org:su-81800DiVA: diva2:567521
Note

AuthorCount:3;

Available from: 2012-11-13 Created: 2012-11-01 Last updated: 2017-12-07Bibliographically approved

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