CAS Monograph No. 1: Stochastic Loss Reserving Using Bayesian MCMC Models
01/07/2015– In this monograph, author Glenn Meyers, FCAS, MAAA, CERA, introduces a novel way of testing the predictive power of two loss reserving methodologies. Using a database created by the CAS that consists of hundreds of loss development triangles with outcomes, the volume begins by first testing the performance of the Mack model on incurred data and the Bootstrap Overdispersed Poisson model on paid data.
As the emergence of Bayesian MCMC models has provided actuaries with an unprecedented flexibility in stochastic model development, the monograph then identifies some Bayesian MCMC (Markov Chain Monte Carlo) models that improve the performance over the above models.
The monograph includes supporting software for download, which enables users to apply the methodologies described in the Meyers monograph.
This monograph is currently available to all CAS members as a free download. Print copies can also be purchased for $22 (members) and $33 (nonmembers) in the CAS online store.
The CAS Monograph Series showcases CAS members' extensive specialized expertise, helping to raise the performance standard for property and casualty actuaries through insightful research. The monographs represent just one way that the CAS provides its members with access to relevant information, research and resources that they can apply directly on the job to advance in their careers. For information on submitting a monograph, visit the Monograph Submission Guidelines page.