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Modelling Claims Run-Off with Reversible Jump Markov Chain Monte Carlo Methods
Published online by Cambridge University Press: 09 August 2013
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.
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- Research Article
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- Copyright © International Actuarial Association 2012