Centro de Documentación de Fundación MAPFRE - Stochastic payments per claim incurred

Notas: Sumario: 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.Registros relacionados: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/03/2019 Tomo 23 Número 1 - 2019 , p. 11-26Materia / lugar / evento: Teorema de Bayes Cálculo de probabilidades Matemática del seguro Modelo estocástico Otras clasificaciones: 6

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