相关论文: Bayesian Chain Ladder For Cumulative Run-Off Trian…

Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…

We revisit Schnieper's model, which decomposes incurred but not reported (IBNR) reserves into two components: reserves for newly reported claims (true IBNR) and reserves for changes over time in the estimated cost of already reported claims…

This paper proposes a strategy for regularized estimation in multi-way contingency tables, which are common in meta-analyses and multi-center clinical trials. Our approach is based on data augmentation, and appeals heavily to a novel class…

We develop a semiparametric framework for inference on the mean response in missing-data settings using a corrected posterior distribution. Our approach is tailored to Bayesian Additive Regression Trees (BART), which is a powerful…

Bayesian nonparametric inferential procedures based on Markov chain Monte Carlo marginal methods typically yield point estimates in the form of posterior expectations. Though very useful and easy to implement in a variety of statistical…

A common approach to the claims reserving problem is based on generalized linear models (GLM). Within this framework, the claims in different origin and development years are assumed to be independent variables. If this assumption is…

The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities of interest in claims reserving and…

We present a general theorem on the structure of bivariate generating functions which gives sufficient conditions such that the limiting probability distribution is a half-normal distribution. If $X$ is a normally distributed random…

Currently, legal requirements demand that insurance companies increase their emphasis on monitoring the risks linked to the underwriting and asset management activities. Regarding underwriting risks, the main uncertainties that insurers…

We introduce the beta generalized normal distribution which is obtained by compounding the beta and generalized normal [Nadarajah, S., A generalized normal distribution, \emph{Journal of Applied Statistics}. 32, 685--694, 2005]…

Noninformative priors constructed for estimation purposes are usually not appropriate for model selection and testing. The methodology of integral priors was developed to get prior distributions for Bayesian model selection when comparing…

Generalized linear models (GLMs) using a regression procedure to fit relationships between predictor and target variables are widely used in automobile insurance data. Here, in the process of ratemaking and in order to compute the premiums…

Forecasting the outstanding claim liabilities to set adequate reserves is critical for a nonlife insurer's solvency. Chain-Ladder and Bornhuetter-Ferguson are two prominent actuarial approaches used for this task. The selection between the…

Using an asymmetric Laplace distribution, which provides a mechanism for Bayesian inference of quantile regression models, we develop a fully Bayesian approach to fitting single-index models in conditional quantile regression. In this work,…

A recent trend in Bayesian research has been revisiting generalizations of the likelihood that enable Bayesian inference without requiring the specification of a model for the data generating mechanism. This paper focuses on a Bayesian…

This paper introduces a new distribution to improve tail risk modeling. Based on the classical normal distribution, we define a new distribution by a series of heat equations. Then, we use market data to verify our model.

We show, analytically and numerically, that wealth distribution in the Bouchaud-M\'ezard network model of the economy is described by a three-parameter generalized inverse gamma distribution. In the mean-field limit of a network with any…

Claims reserving is one of the most important actuarial tasks in non-life insurance modeling. There are several popular methods to perform claims reserving such as the chain-ladder (CL), the Bornhuetter--Ferguson (BF) or the generalized…

Survival models are used to analyze time-to-event data in a variety of disciplines. Proportional hazard models provide interpretable parameter estimates, but proportional hazards assumptions are not always appropriate. Non-parametric models…

This paper is concerned with making Bayesian inference from data that are assumed to be drawn from a Bingham distribution. A barrier to the Bayesian approach is the parameter-dependent normalising constant of the Bingham distribution,…