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Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving
| Content Provider | Semantic Scholar |
|---|---|
| Author | Verrall, Richard Wüthrich, Mario V. |
| Copyright Year | 2012 |
| Abstract | We present an application of the reversible jump Markov chain Monte Carlo (RJMCMC) method to the important problem of setting claims reserves in general insurance business for the outstanding loss liabilities. A measure of the uncertainty in these claims reserves estimates is also needed for solvency purposes. The RJMCMC method described in this paper represents an improvement over the manual processes often employed in practice. In particular, our RJMCMC method describes parameter reduction and tail factor estimation in the claims reserving process, and, moreover, it provides the full predictive distribution of the outstanding loss liabilities. |
| Starting Page | 240 |
| Ending Page | 259 |
| Page Count | 20 |
| File Format | PDF HTM / HTML |
| DOI | 10.1080/10920277.2012.10590639 |
| Volume Number | 16 |
| Alternate Webpage(s) | https://openaccess.city.ac.uk/id/eprint/3802/1/RJMCMC.pdf |
| Alternate Webpage(s) | http://openaccess.city.ac.uk/3802/1/RJMCMC.pdf |
| Alternate Webpage(s) | https://doi.org/10.1080/10920277.2012.10590639 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
