Bayesian models are very popular in non-life claims reserving. This monograph provides a review of Bayesian claims reserving models and their underlying Bayesian inference theory. It investigates three types of claims reserving models in Bayesian framework: chain ladder models, basis expansion models involving tail factor, and multivariate copula models. One of the core techniques in Bayesian modeling is inferential methods. This monograph largely relies on Stan, a spe- cialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes. This monograph has the following three distinguishing features:
Author(s): Guangyuan Gao
Publisher: Springer
Year: 2019
Language: English
Pages: 0
City: Singapore
Chapter 1 Introduction
Chapter 2 Bayesian Fundamentals
Chapter 3 Advanced Bayesian Computation
Chapter 4 Bayesian Chain Ladder ModelsBayesian models are very popular in non-life claims reserving. This monograph provides a review of Bayesian claims reserving models and their underlying Bayesian inference theory. It investigates three types of claims reserving models in Bayesian framework: chain ladder models, basis expansion models involving tail factor, and multivariate copula models. One of the core techniques in Bayesian modeling is inferential methods. This monograph largely relies on Stan, a spe- cialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes. This monograph has the following three distinguishing features:
Chapter 5 Bayesian Basis Expansion Models
Chapter 6 Multivariate Modelling Using Copulas
Chapter 7 Epilogue
