Details
Bayesian Claims Reserving Methods in Non-life Insurance with Stan
An Introduction
90,94 € |
|
Verlag: | Springer |
Format: | |
Veröffentl.: | 31.12.2018 |
ISBN/EAN: | 9789811336096 |
Sprache: | englisch |
Dieses eBook enthält ein Wasserzeichen.
Beschreibungen
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.<p><br></p>
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.
<p>The first book provides explicit Stan code for non-life claims reserving</p><p>The book has a thorough review of many aspects of Bayesian statistics, and relates them to claims reserving problem</p><p>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)</p>