Stochastic Loss Reserving Using Bayesian MCMC Models, 2nd Edition
By Glenn Meyers
The emergence of Bayesian Markov Chain Monte-Carlo (MCMC) models has provided actuaries with an unprecedented flexibility in stochastic model development. Another recent development has been the posting of a database on the CAS website that consists of hundreds of loss development triangles with outcomes. This monograph begins by first testing the performance of the Mack model on incurred data and the Bootstrap Overdispersed Poisson model on paid data. It then proposes Bayesian MCMC models that improve the performance over the above models. The features examined include (1) recognizing correlation between accident years in incurred data, (2) allowing for a change in the claim settlement rate in paid data, and (3) a unified model combining paid and incurred data. This monograph continues with an investigation of dependencies between lines of insurance and proposes a way to calculate a cost of capital risk margin.
About the Author
Glenn Meyers, FCAS, MAAA, CERA, PhD, retired from ISO at the end of 2011 after a 37-year career as an actuary. He holds a BS in Mathematics and Physics from Alma College, an MA in Mathematics from Oakland University, and a PhD in Mathematics from SUNY at Albany. A frequent speaker at Casualty Actuarial Society (CAS) meetings, he has served the CAS by participating on several education and research committees. He has also served on the CAS Board of Directors. His research contributions have been recognized by the CAS through his being a three-time winner of the Woodward-Fondiller Prize, a two-time winner of the Dorweiler Prize, the Dynamic Financial Analysis Prize, the Ronald Bornhuetter Loss Reserves Prize, the American Risk and Insurance Association Prize, the Charles A. Hachemeister Prize, the Matthew Rodermund Service Award, and the Michelbacher Significant Achievement Award. In retirement he continues to spend some of his time on his passion for actuarial research.
ISBN 978-1-7370028-1-9
Published September 2019
This monograph is currently available to all CAS members as a free download. 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.
