Bayesian Claims Reserving Methods in Non-life Insurance with Stan, 1st ed. 2018 An Introduction
Langue : Anglais
Auteur : Gao Guangyuan
This book first provides a review of various aspects of Bayesian statistics. It then investigates three types of claims reserving models in the Bayesian framework: chain ladder models, basis expansion models involving a tail factor, and multivariate copula models. For the Bayesian inferential methods, this book largely relies on Stan, a specialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes.
Chapter1 Introduction.- Chapter2 Bayesian Fundamentals.- Chapter3 Advanced Bayesian Computation.- Chapter4 Bayesian Chain Ladder Models.- Chapter5 Bayesian Basis Expansion Models.- Chapter6 Multivariate Modelling Using Copulas.- Chapter7 Epilogue.
Guangyuan Gao, lecturer in actuarial science, School of Statistics at the Renmin University of China.
The first book provides explicit Stan code for non-life claims reserving
The book has a thorough review of many aspects of Bayesian statistics, and relates them to claims reserving problem
The book addresses three important points in claims reserving: proposing a stochastic payments per claim incurred model (Section 4), estimating the tail factor via basis expansion models (Section 5), and aggregating claims liabilities by copulas (Section 6)
Date de parution : 01-2019
Ouvrage de 205 p.
15.5x23.5 cm
Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).
Prix indicatif 89,66 €
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