Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework
The literature of predicting the outstanding liability for insurance companies has undergone rapid and profound changes in the past three decades, most recently focusing on Bayesian stochastic modeling and multivariate insurance loss payments. In this article, we introduce a novel Bayesian multivari...
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| Veröffentlicht in: | The Journal of risk and insurance Jg. 80; H. 4; S. 891 - 919 |
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| Format: | Journal Article |
| Sprache: | Englisch |
| Veröffentlicht: |
Malvern
Blackwell Publishing Ltd
01.12.2013
Wiley Periodicals, Inc Blackwell American Risk and Insurance Association, Inc |
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| ISSN: | 0022-4367, 1539-6975 |
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| Abstract | The literature of predicting the outstanding liability for insurance companies has undergone rapid and profound changes in the past three decades, most recently focusing on Bayesian stochastic modeling and multivariate insurance loss payments. In this article, we introduce a novel Bayesian multivariate model based on the use of parametric copula to account for dependencies between various lines of insurance claims. We derive a full Bayesian stochastic simulation algorithm that can estimate parameters in this class of models. We provide an extensive discussion of this modeling framework and give examples that deal with a wide range of topics encountered in the multivariate loss prediction settings. |
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| AbstractList | The literature of predicting the outstanding liability for insurance companies has undergone rapid and profound changes in the past three decades, most recently focusing on Bayesian stochastic modeling and multivariate insurance loss payments. In this article, we introduce a novel Bayesian multivariate model based on the use of parametric copula to account for dependencies between various lines of insurance claims. We derive a full Bayesian stochastic simulation algorithm that can estimate parameters in this class of models. We provide an extensive discussion of this modeling framework and give examples that deal with a wide range of topics encountered in the multivariate loss prediction settings. Due to reasons such as late reported claims, judicial proceedings, or schedules of benefits for employer's liability claims, many types of property-casualty insurance claims often have lengthy settlement periods, with liability claims often taking years or even decades to complete. In order to be able to respond to outstanding claims, every insurance company must set aside a provision, known as a loss reserve. The loss reserve is typically a property-casualty insurance company's largest balance sheet liability. Its proper prediction is therefore a matter of vital importance to the company and the research around loss reserve prediction has become a central subject in modem actuarial science. [PUBLICATION ABSTRACT] ABSTRACT The literature of predicting the outstanding liability for insurance companies has undergone rapid and profound changes in the past three decades, most recently focusing on Bayesian stochastic modeling and multivariate insurance loss payments. In this article, we introduce a novel Bayesian multivariate model based on the use of parametric copula to account for dependencies between various lines of insurance claims. We derive a full Bayesian stochastic simulation algorithm that can estimate parameters in this class of models. We provide an extensive discussion of this modeling framework and give examples that deal with a wide range of topics encountered in the multivariate loss prediction settings. |
| Audience | Trade |
| Author | Dukic, Vanja Zhang, Yanwei |
| Author_xml | – sequence: 1 givenname: Yanwei surname: Zhang fullname: Zhang, Yanwei – sequence: 2 givenname: Vanja surname: Dukic fullname: Dukic, Vanja |
| BackLink | http://www.econis.eu/PPNSET?PPN=777226391$$DView this record in ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften |
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| Snippet | The literature of predicting the outstanding liability for insurance companies has undergone rapid and profound changes in the past three decades, most... ABSTRACT The literature of predicting the outstanding liability for insurance companies has undergone rapid and profound changes in the past three decades,... Due to reasons such as late reported claims, judicial proceedings, or schedules of benefits for employer's liability claims, many types of property-casualty... |
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| SubjectTerms | Accidents Actuarial science Analysis Automobile insurance Bayes-Statistik Bayesian analysis Bayesian statistical decision theory Copula functions Economic aspects Evaluation Financial analysis Generalized linear model Industry forecasts Insurance claims Insurance companies Insurance industry Liability (Law) Liability insurance Loss reserves Management Methods Modeling Multivariate analysis Multivariate Verteilung Parametric models Predictive modeling Property & casualty insurance Property and casualty insurance Risikomodell Schadenversicherung Statistical inference Trends Verlustverrechnung Workers compensation insurance |
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| Title | Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework |
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