文章基本信息

标题：Stochastic Loss Reserving with the Collective Risk Model
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作者：Glenn Meyers, FCAS, MAAA, Ph.D.
期刊名称：Casualty Actuarial Society Forum
印刷版ISSN：1046-6487
出版年度：2008
卷号：2008
出版社：CAS
摘要：This paper presents a Bayesian stochastic loss reserve model with the following features. 1. The model for expected loss payments depends upon unknown parameters that determine the expected loss ratio for the given accident years and the expected payment for each settlement lag. 2. The distribution of outcomes is given by the collective risk model in which the expected claim severity increases with the settlement lag. The claim count distribution is given by a Poisson distribution with its mean determined by dividing the expected loss by the expected claim severity. 3. The parameter sets that describe the posterior distribution of the parameters in (1) above are calculated with the Gibbs sampler. 4. For each parameter set generated by the Gibbs sampler in (3), the predicted distribution of outcomes is calculated using a Fast Fourier Transform (FFT). The Bayesian predictive distribution of outcomes is a mixture of the distributions of outcomes over all the parameter sets produced by the Gibbs sampler. This paper concludes by applying this model to the problem of calculating risk margins for loss reserves using a cost of capital formula.
关键词：Reserving Methods, Reserve Variability, Uncertainty and Ranges, Collective Risk Model, Fourier Methods, Bayesian Estimation