Credibility Weighting for Reserving via Bayesian MCMC

This session will present a couple of short case studies illustrating how to apply Bayesian MCMC concepts to common reserving problems where credibility weighting can help:

• Estimating reserve need by business unit within a line of business (Annual Statement Line).

• Estimating the reserve need when the data on hand is sparse or incomplete.

  • Date:Monday, September 13
  • Time:3:00 PM - 4:15 PM EDT
  • Session Type:Concurrent Session
  • Session Code:AR-2
  • Learning Objective 1:Move from using link ratios for reserve analysis to Bayesian MCMC.
  • Learning Objective 2:Illustrate how to translate loss reserving problems into Bayesian MCMC models using commonly available modeling tools.
  • Learning Objective 3:Use source material on Bayesian MCMC modeling at different levels as well as a list of packages used to do the modeling with links to source material on those packages.
  • Level of Knowledge:Level 2: General knowledge of the subject
  • Moderator:Paige DeMeter