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Stochastic claims reserving via a Bayesian Spline Model with random loss ratio effects
Recurso electrónico / electronic resource
MAP20180005459
Gao, Guangyuan ‌
Stochastic claims reserving via a Bayesian Spline Model with random loss ratio effects / Guangyuan Gao, Shengwang Meng
Sumario: We propose a Bayesian spline model which uses a natural cubic B-spline basis with knots placed at every development period to estimate the unpaid claims. Analogous to the smoothing parameter in a smoothing spline, shrinkage priors are assumed for the coefficients of basis functions. The accident period effect is modeled as a random effect, which facilitate the prediction in a new accident period. For model inference, we use Stan to implement the no-U-turn sampler, an automatically tuned Hamiltonian Monte Carlo. The proposed model is applied to the workers' compensation insurance data in the United States. The lower triangle data is used to validate the model
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/01/2018 Volumen 48 Número 1 - enero 2018
1. Modelo estocástico ‌. 2. Modelos estadísticos ‌. 3. Cálculo actuarial ‌. 4. Procesos estocásticos ‌. 5. Matemática del seguro ‌. I. Meng, Shengwang ‌. II. Título.