Bayesian Claims Reserving Methods in Non-life Insurance with Stan: An Introduction
Bayesian Claims Reserving Methods in Non-life Insurance with Stan: An Introduction by Guangyuan Gao
2019 | ISBN: 9811336083 | English | 205 pages | PDF | 6 MB
2019 | ISBN: 9811336083 | English | 205 pages | PDF | 6 MB
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.