Stochastic claims reserving has been developed mostly using models defined in the framework of the classical statistics. The recently proposed Time Series Chain Ladder (TSCL) is one of these models. In order to allow for a comparison with the Bayesian point of view, we propose a fully Bayesian model having the property of reproducing TSCL if improper priors are assumed. With "informative" priors the Bayesian model allows for incorporating into the reserving process relevant external data, e.g. expert opinions, which are largely used by the actuaries. We provide numerical examples using Markov Chain Monte Carlo methods. © 2012 Springer-Verlag.
Claims reserving in non-life insurance: A fully Bayesian model / Castellani, Gilberto; DE FELICE, Massimo; F., Moriconi. - STAMPA. - 300 CCIS:PART 4(2012), pp. 134-145. (Intervento presentato al convegno 14th International Conference on Information Processing and Management of Uncertainty in Knowledge-Based Systems, IPMU 2012 tenutosi a Catania nel 9 July 2012 through 13 July 2012) [10.1007/978-3-642-31724-8_15].
Claims reserving in non-life insurance: A fully Bayesian model
CASTELLANI, Gilberto;DE FELICE, Massimo;
2012
Abstract
Stochastic claims reserving has been developed mostly using models defined in the framework of the classical statistics. The recently proposed Time Series Chain Ladder (TSCL) is one of these models. In order to allow for a comparison with the Bayesian point of view, we propose a fully Bayesian model having the property of reproducing TSCL if improper priors are assumed. With "informative" priors the Bayesian model allows for incorporating into the reserving process relevant external data, e.g. expert opinions, which are largely used by the actuaries. We provide numerical examples using Markov Chain Monte Carlo methods. © 2012 Springer-Verlag.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
