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

Published online by Cambridge University Press:  09 August 2013

Richard Verrall ,
Ola Hössjer  and
Susanna Björkwall
Richard Verrall
Affiliation:
Cass Business School, City University, London, E-Mail: r.j.verrall@city.ac.uk
Ola Hössjer
Affiliation:
Dept. of Mathematics, Stockholm University
Susanna Björkwall
Affiliation:
Dept. of Mathematics, Stockholm University
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Abstract

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.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 42 , Issue 1 , May 2012 , pp. 35 - 58
Copyright
Copyright © International Actuarial Association 2012

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