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Document Details :

Title: Modelling Claims Run-off with Reversible Jump Markov Chain Monte Carlo Methods
Author(s): VERRALL, Richard , HÖSSJER, Ola , BJÖRKWALL, Susanna
Journal: ASTIN Bulletin
Volume: 42    Issue: 1   Date: 2012   
Pages: 35-58
DOI: 10.2143/AST.42.1.2160711

Abstract :
In this paper we describe a new approach to modelling the development of claims run-off triangles. This method replaces the usual ad hoc practical process of extrapolating a development pattern to obtain tail factors with an objective procedure. An example is given, illustrating the results in a practical context, and the WinBUGS code is supplied.