Bayesian Claims Reserving Methods in Non-Life Insurance with Stan: An Introduction

ISBN-13: 9789811336089 / Angielski / Twarda / 2019 / 205 str.

Guangyuan Gao

Opis

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.

Spis treści

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.

O autorze

Guangyuan Gao, lecturer in actuarial science, School of Statistics at the Renmin University of China.