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Stochastic payments per claim incurred

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      <subfield code="a">Gao, Guangyuan</subfield>
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    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Stochastic payments per claim incurred</subfield>
      <subfield code="c">Guangyuan Gao, Shengwang Meng, Yanlin Shi</subfield>
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      <subfield code="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.</subfield>
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      <subfield code="a">Teorema de Bayes</subfield>
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    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080616106</subfield>
      <subfield code="a">Cálculo de probabilidades</subfield>
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    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
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      <subfield code="0">MAPA20080586447</subfield>
      <subfield code="a">Modelo estocástico</subfield>
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      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="g">01/03/2019 Tomo 23 Número 1 - 2019 , p. 11-26</subfield>
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