Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving

Richard J. Verrall, Mario V. Wüthrich
2012 North American Actuarial Journal  
We present an application of the reversible jump Markov chain Monte Carlo (RJMCMC) method to the important problem of setting claims reserves in general insurance business for the outstanding loss liabilities. A measure of the uncertainty in these claims reserves estimates is also needed for solvency purposes. The RJMCMC method described in this paper represents an improvement over the manual processes often employed in practice. In particular, our RJMCMC method describes parameter reduction
more » ... tail factor estimation in the claims reserving process and, moreover, it provides the full predictive distribution of the outstanding loss liabilities.
doi:10.1080/10920277.2012.10590639 fatcat:deoyilbam5e7diipbqqynn3ury