Could Reversible Jump Markov Chain Monte Carlo transform claims reserves valuation?

Published in: Risk Models, Expert papers

Companies: Actuaris,

Insurers increasingly require highly robust stochastic models to obtain credible valuations of their outstanding claims reserves. This is particularly true for firms subject to the EU's Solvency II regulations. The Reversible Jump Markov Chain Monte Carlo method has many advantages over traditional approaches such as the chain ladder, say Marion Gremillet, Pierre Miehe and José Luis Vilar

Login
Forgot your password?

To access the premium content on InsuranceERM, you must first sign in to your account

Not registered? Take a free no obligation one-month trial.