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A Copula based Bayesian approach for paidincurred claims models for non-life insurance reserving

MAP20150002419
Peters, Gareth W.
A Copula based Bayesian approach for paidincurred claims models for non-life insurance reserving / Gareth W. Peters, Alice X.D. Dong, Robert Kohn
Sumario: Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of hierarchical Bayesian paidincurred claims models, combining the claims reserving models of Hertig (1985) and Gogol (1993). In the process we extend the independent log-normal model of Merz and Wüthrich (2010) by incorporating different dependence structures using a Data-Augmented mixture Copula paidincurred claims model
En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/11/2014 Volumen 59 Número 1 - noviembre 2014
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