Short Course: Using Bayesian MCMC Models for Stochastic Loss Reserving.
Glenn Meyers. ISO Innovative Analytics.
The course will open with an explanation of Bayesian MCMC models and the software used to implement these models. It will then walk through some of the details of the models discussed in the plenary talk. These will include:
The Correlated Chain Ladder (CCL) model for incurred loss triangles
The Changing Settlement Rate (CSR) model for paid loss triangles
A bivariate model for stochastic loss reserving of two lines of insurance
Using a Bayesian MCMC model to calculate cost of capital risk margins
The scripts that implement these models are written in the R programming language using the rstan package for Bayesian MCMC modeling. These scripts will be made available to course attendees upon request.
Keywords:Bayesian MCMC, Stochastic Loss Reserving, Dependencies, Risk Margins, Schedule P, R Programming Language, rstan
Meyers, Glenn G. 2015. “Stochastic Loss Reserving Using Bayesian MCMC Models” CAS Monograph Series, No. 1.
Meyers, Glenn G. 2016. “Dependencies in Stochastic Loss Reserve Models” Casualty Actuarial Society Forum (Winter)