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Bayesian Claims Reserving Methods in Non-life Insurance with Stan


Bayesian Claims Reserving Methods in Non-life Insurance with Stan

An Introduction

von: Guangyuan Gao

90,94 €

Verlag: Springer
Format: PDF
Veröffentl.: 31.12.2018
ISBN/EAN: 9789811336096
Sprache: englisch

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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,&nbsp;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.&nbsp;&nbsp;
<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>

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