Stochastic claims reserving via a Bayesian Spline Model with random loss ratio effects

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<title>Stochastic claims reserving via a Bayesian Spline Model with random loss ratio effects</title>
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<namePart>Meng, Shengwang</namePart>
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<abstract displayLabel="Summary">We propose a Bayesian spline model which uses a natural cubic B-spline basis with knots placed at every development period to estimate the unpaid claims. Analogous to the smoothing parameter in a smoothing spline, shrinkage priors are assumed for the coefficients of basis functions. The accident period effect is modeled as a random effect, which facilitate the prediction in a new accident period. For model inference, we use Stan to implement the no-U-turn sampler, an automatically tuned Hamiltonian Monte Carlo. The proposed model is applied to the workers' compensation insurance data in the United States. The lower triangle data is used to validate the model.</abstract>
<note type="statement of responsibility">Guangyuan Gao, Shengwang Meng</note>
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<topic>Procesos estocásticos</topic>
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<topic>Matemática del seguro</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>01/01/2018 Volumen 48 Número 1 - enero 2018 </text>
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