A. Ricotta, E. Luini
The evaluation of reserve risk, which represents a fundamental part of underwriting risk for nonlife insurers, can be achieved through a wide range of stochastic approaches, including the Collective Risk Model. This paper proposes a Bayesian technique to evaluate the standard deviation of structure variables embedded into the Collective Risk Model. We adopt prior distributions whose parameters are measured using the available data set 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.
stochastic claims reserving, collective risk model, structure variables, Bayesian approach, bootstrap
Tipo di pubblicazione: