TAILIEUCHUNG - Bayesian estimation of structure variables in the collective risk model for reserve risk

Reserve risk represents a fundamental component of underwriting risk for non-life insurers and its evaluation can be achieved through a wide range of stochastic approaches, including the Collective Risk Model. This paper, in order to fill a gap in existing literature, proposes a Bayesian technique aimed at evaluating the standard deviation of structure variables embedded into the Collective Risk Model. We adopt uninformative prior distributions and the observations of the statistical model are obtained making use of Mack’s formula linked to bootstrap methodology. Moreover, correlation between structure variables is investigated with a Bayesian method, where a dependent bootstrap approach is adopted. Finally, a case study is carried out: the Collective Risk Model is used to evaluate the claims reserve of two non-life insurers characterized by a different reserve size. The claims reserve distribution is examined with respect to the total run-off and the one-year time horizon, enabling the assessment of the reserve risk capital requirement. | Bayesian estimation of structure variables in the collective risk model for reserve risk

• Ngân hàng - Tín dụng
• Stochastic claims reserving
• Collective risk model
• Structure variables
• Bayesian approach
• Reserve risk
• stochastic models for claims reserve
• capital requirement for reserve risk
• average cost methods
• Solvency II
• Journal of Zoology
• Infection risk
• Anopheles hyrcanus
• Ochlerotatus cataphylla
• Ochlerotatus nigrinus
• Uranotaenia unguiculata
• Mining or Our
• Heritage
• Indigenous Local
• Industrial Waste
• Mines in Ghana
• Building Material
• Financial institutions markets
• Financial markets
• The federal reserve
• Interest rates
• Interest rate risk
• The structure of interest rates
• Alzheimer’s disease
• Cognitive decline
• Cognitive reserve
• Cohort studies
• Independent living
• Risk factors
• Foreign Portfolio Investment
• Consumer Price Index
• Index of Industrial production
• Foreign Exchange Reserve
• Adoption of risk
• Health sector
• Insurance benefit
• Premium calculation
• Risk management
• Aging reserve