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Stochastic payments per claim incurred
Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20190014489
003  MAP
005  20190524085613.0
008  190521e20190301esp|||p |0|||b|spa d
040  ‎$a‎​MAP‎$b‎​spa‎$d‎​MAP
084  ‎$a‎​6
100  ‎$0‎​MAPA20180001918‎$a‎​Gao, Guangyuan ‌
24510‎$a‎​Stochastic payments per claim incurred‎$c‎​Guangyuan Gao, Shengwang Meng, Yanlin Shi
520  ‎$a‎​We propose a Bayesian model to quantify the uncertainty associated with the payments per claim incurred (PPCI) algorithm. Based on the PPCI algorithm, two submodels are proposed for the number of reported claims run-off triangle and the PPCI run-off triangle, respectively. The model for the claims amount is then derived from the two submodels under the assumption of independence between the number of incurred claims and the PPCI. The joint likelihood of the number of reported claims and claims amount is derived. The posterior distribution of parameters is estimated via the Hamiltonian Monte Carlo (HMC) sampling approach. The Bayesian estimator, the process variance, the estimation variance, and the predictive distribution of unpaid claims are also studied. The proposed model and the HMC inference engine are applied to to an empirical claims dataset of the WorkSafe Victoria to estimate the unpaid claims of the doctor benefit. The Bayesian modeling procedure is further refined by including a preliminary generalized linear model analysis. The results are compared with those in a PwC report. An alternative model is compared with the proposed model based on various information criteria.
650 4‎$0‎​MAPA20100065242‎$a‎​Teorema de Bayes ‌
650 4‎$0‎​MAPA20080616106‎$a‎​Cálculo de probabilidades ‌
650 4‎$0‎​MAPA20080602437‎$a‎​Matemática del seguro ‌
650 4‎$0‎​MAPA20080586447‎$a‎​Modelo estocástico ‌
7730 ‎$w‎​MAP20077000239‎$t‎​North American actuarial journal‎$d‎​Schaumburg : Society of Actuaries, 1997-‎$x‎​1092-0277‎$g‎​01/03/2019 Tomo 23 Número 1 - 2019 , p. 11-26