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Quantification of automobile insurance liability: A Bayesian failure time approach. (English) Zbl 1043.62092

Summary: We propose a new modelling approach to the prediction of outstanding claims of an insurance company. For given claim amounts and counts that have occurred in previous years, we use a three-stage hierarchical model in which the number of claims made per year, the settlement process in each year and the claim settlement amounts are modelled in turn. We provide implementation details and illustrations with real automobile insurance data.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62F15 Bayesian inference
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