Markov Chain Monte Carlo Approach to Bayesian Models for Claims Reserving
| Autor: | Ming-Xuan Yu, 游銘軒 |
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| Rok vydání: | 2006 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 94 Insurance companies should take claims reserving every year, and deposit enough claims reserving to pay off unpaid claims payment in the annual year-end accounting.Claims reserving is the most important liability on balance sheet, and deposit in adequate will affect the financial stability、cash flow, and solvency of an insurance company. This paper introduces how to use past claim amounts and set single cell development factors to fit normal distribution. Based on a Bayesian chain ladder model, we simulate the posterior distribution of claim reserves by MCMC method. We also simulate the future single cell development factors, and then calculate the future claim reserves. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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