Bayesian analysis of claim run-off triangles
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]
|Collections||Open Access Theses|
|Lim, K W Thesis 2011.pdf||1.87 MB||Adobe PDF|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.