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Bayesian analysis of claim run-off triangles

Lim, Kar Wai

Description

This dissertation studies Markov chain Monte Carlo (MCMC) methods, and applies them to actuarial data, with a focus on claim run-off triangles. After reviewing a classical model for run-off triangles proposed by Hertig (1985) and improved by de Jong (2004), who incorporated a correlation structure, a Bayesian analogue is developed to model an actuarial dataset, with a view to estimating the total outstanding claim liabilities (also known as the required...[Show more]

CollectionsOpen Access Theses
Date published: 2011-11-04
Type: Thesis (Honours)
URI: http://hdl.handle.net/1885/106530

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