Modelling Claims Run-off with Reversible Jump Markov Chain Monte Carlo Methods
Verrall, R. J., Hossjer, O. & Bjorkwall, S. (2012). Modelling Claims Run-off with Reversible Jump Markov Chain Monte Carlo Methods. ASTIN Bulletin, 42(1), pp. 35-58. doi: 10.2143/AST.42.1.2160711
Abstract
In this paper we describe a new approach to modelling the development of claims run-off triangles. This method replaces the usual adhoc 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.
| Publication Type: | Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Departments: | Bayes Business School > Actuarial Science & Insurance |
| Related URLs: | |
| SWORD Depositor: |
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