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Modelling Claims Run-Off with Reversible Jump Markov Chain Monte Carlo Methods

  • Richard Verrall (a1), Ola Hössjer (a2) and Susanna Björkwall (a2)


In this paper we describe a new approach to modelling the development of claims run-off triangles. This method replaces the usual ad hoc practical process of extrapolating a development pattern to obtain tail factors with an objective procedure. An example is given, illustrating the results in a practical context, and the WinBUGS code is supplied.



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Modelling Claims Run-Off with Reversible Jump Markov Chain Monte Carlo Methods

  • Richard Verrall (a1), Ola Hössjer (a2) and Susanna Björkwall (a2)


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