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A Set of Bayesian Models for Analysis of Claim Lags
A Set of Bayesian Models for Analysis of Claim Lags This paper presents Bayesian models for analysis ... of trend is to proportionately increase medical care costs for all injuries or conditions, and that the ...Description: This paper presents Bayesian models for analysis of claim lag data. The analysis of claim runoff patterns investigate the extraction of information on trend and seasonal patterns in incurred claims. This is investigated on the basis of individual group data, and also relative to a larger aggregation of pooled experience. The models are implemented based on Markov chain Monte Carlo methods. The models are applied to examples using simulated claim lag data. From Actuarial Research Clearing House, 2003, Vol. 1.
Hide- Authors: Dale Lamps
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Health & Disability>Health insurance; Modeling & Statistical Methods>Bayesian methods
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Options on Bonds and Applications to Product Pricing
Options on Bonds and Applications to Product Pricing This paper presents a theoretical approach ... probability I - q. Suppose we choose N so that we do not care whether yields go to i+ or i - , i.e, P(t+ e ...Description: This paper presents a theoretical approach to the valuation of options on bonds, a computer model for valuing such options, an application of options theory to evaluate the risk of call options on corporate bonds, and an application of options theory to price the risk of deposit antiselection on certain GICs sold to employee savings plans. From Transactions of Society of Actuaries 1985, Vol. 37.
Hide- Authors: Robert P Clancy
- Date: Oct 1985
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments
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On the Application of the Wilkie Model to the TSX Price Index
On the Application of the Wilkie Model to the TSX Price Index For insurance companies, modeling ... assumption, and lower percentiles are just what we care about. Therefore when we compare the results of ...Description: For insurance companies, modeling the future values of assets and their interactions is useful for setting up asset strategies and managing reserves for liabilities. This paper evaluates the ability of Wilkie’s stochastic investment models to predict Toronto Stock Exchange [TSX] price index yield. In the Wilkie Model, correlated econometric indices are modeled through a cascade structure.
Hide- Authors: Chao Qiu
- Date: Jul 2007
- Competency: Technical Skills & Analytical Problem Solving