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Claims reserving : a correlated Bayesian model
Recurso electrónico / electronic resource
MAP20090021426
Alba, Enrique de ‌
Claims reserving : a correlated Bayesian model / Enrique de Alba, Luis E. Nieto-Barajas
Sumario: Estimation of adequate reserves for outstanding claims is one of the main activities of actuaries in property/casualty insurance and a major topic in actuarial science. The need to estimate future claims has led to the development of many loss reserving techniques. There are two important problems that must be dealt with in the process of estimating reserves for outstanding claims: one is to determine an appropriate model for the claims process, and the other is to assess the degree of correlation among claim payments in different calendar and origin years. On the one hand it is used a gamma distribution to model the claims process and, in addition, it is allowed the claims to be correlated. It is followed a Bayesian approach for making inference with vague prior distributions. The methodology is illustrated with a real data set and compared with other standard methods
En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 27/12/2008 Tomo 43 Número 3 - 2008, p. 368-376
1. Matemática del seguro ‌. 2. Métodos actuariales ‌. 3. Reservas técnicas para siniestros ‌. 4. Seguro de daños patrimoniales ‌. I. Nieto-Barajas, Luis E. ‌. II. Title.