Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework

Yanwei Zhang; Vanja Dukic

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Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework

机译：在贝叶斯Copula框架下预测多元保险损失支付

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The literature of predicting the outstanding liability for insurance companies has undergone rapid and profound changes in the past three decades, most recently focusing on Bayesian stochastic modeling and multivariate insurance loss payments. In this article, we introduce a novel Bayesian multivariate model based on the use of parametric copula to account for dependencies between various lines of insurance claims. We derive a full Bayesian stochastic simulation algorithm that can estimate parameters in this class of models. We provide an extensive discussion of this modeling framework and give examples that deal with a wide range of topics encountered in the multivariate loss prediction settings.

机译：在过去的三十年中，有关预测保险公司未偿债务的文献发生了迅速而深刻的变化，最近的研究重点是贝叶斯随机模型和多元保险损失支付。在本文中，我们介绍了一种新颖的贝叶斯多元模型，该模型基于使用参数copula来解释各种保险理赔之间的依赖性。我们导出了一个完整的贝叶斯随机仿真算法，可以估算此类模型中的参数。我们提供了对该建模框架的广泛讨论，并提供了涉及多元损失预测设置中遇到的广泛主题的示例。

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《The journal of risk and insurance》 |2013年第4期|891-919|共29页
作者
Yanwei Zhang; Vanja Dukic;
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作者单位

CAN Insurance Company;

University of Colorado Boulder;

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1. A factorial Bayesian copula framework for partitioning uncertainties in multivariate risk inference [J] . Y. Fan, K. Huang, G.H. Huang, Environmental research . 2020,第Apra期

机译：用于分区多元风险推理的不确定性的因子贝叶斯族框架
2. Multivariate Copula Analysis Toolbox (MvCAT): Describing dependence and underlying uncertainty using a Bayesian framework [J] . Sadegh Mojtaba, Ragno Elisa, AghaKouchak Amir Water resources research . 2017,第6期

机译：多元Copula分析工具箱（MvCAT）：使用贝叶斯框架描述依赖性和潜在不确定性
3. A Bayesian non-linear model for forecasting insurance loss payments [J] . Yanwei Zhang, Vanja Dukic, James Guszcza Journal of the Royal Statistical Society . 2012,第PTa2期

机译：贝叶斯非线性模型预测保险损失支付
4. e-Risk Management with Insurance : A framework using Copula aided Bayesian Belief Networks [C] . Arunabha Mukhopadhyay, Samir Chatterjee, Debashis Saha, Annual Hawaii International Conference on System Sciences . 2006

机译：与保险的电子风险管理：使用Copula Avened Bayesian信仰网络的框架
5. Multivariate Insurance Loss Models with Applications in Risk Retention. [D] . Lee, Gee Yul. 2017

机译：多元保险损失模型及其在风险保留中的应用。
6. Marginal models for meta-analysis of diagnostic accuracy studies in frequentist and Bayesian framework using rstan and CopulaREMADA [O] . Victoria Nyaga, Aerts Marc, Arbyn Marc 2015

机译：使用rstan和CopulaREMADA在频频和贝叶斯框架中对诊断准确性研究进行荟萃分析的边际模型
7. Multivariate Copula Analysis Toolbox (MvCAT): Describing Dependence and Underlying Uncertainty Using a Bayesian Framework [O] . Sadegh, Mojtaba, Ragno, Elisa, AghaKouchak, Amir 2017

机译：多元Copula分析工具箱（MvCAT）：使用贝叶斯框架描述依赖性和基础不确定性
8. Jointly Analyzing the Physical Activity Participation Levels of Individuals in a Family Unit Using a Multivariate Copula Framework [R] . Sener, I. N., Eluru, N., Bhat, C. R. 2010

机译：利用多元Copula框架联合分析家庭单位个体体育活动参与水平

Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework

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