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Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework
Author(s) -
Zhang Yanwei,
Dukic Vanja
Publication year - 2013
Publication title -
journal of risk and insurance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.055
H-Index - 63
eISSN - 1539-6975
pISSN - 0022-4367
DOI - 10.1111/j.1539-6975.2012.01480.x
Subject(s) - copula (linguistics) , multivariate statistics , bayesian probability , econometrics , payment , parametric statistics , computer science , actuarial science , economics , mathematics , statistics , artificial intelligence , finance , machine learning
A BSTRACT The literature of predicting the outstanding liability for insurance companies has undergone rapid and profound changes in the past three decades, most recently focusing on Bayesian stochastic modeling and multivariate insurance loss payments. In this article, we introduce a novel Bayesian multivariate model based on the use of parametric copula to account for dependencies between various lines of insurance claims. We derive a full Bayesian stochastic simulation algorithm that can estimate parameters in this class of models. We provide an extensive discussion of this modeling framework and give examples that deal with a wide range of topics encountered in the multivariate loss prediction settings.

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