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

Richard Verrall, Ola Hössjer and Susanna Björkwall

ASTIN Bulletin, 2012, vol. 42, issue 1, 35-58

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.

Date: 2012
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