Last week I wrote about Glenn Meyers’ correlated log-normal chain-ladder model (CCL), which he presented at the 10th Bayesian Mixer Meetup. Today, I will continue with a variant Glenn also discussed: The changing settlement log-normal chain-ladder model (CSR).
Glenn used the correlated log-normal chain-ladder model on reported incurred claims data to predict future developments.
However, when looking at paid claims data, Glenn suggested to change the model slightly. Instead allowing for correlation across accident years, he allows for a gradual shift in the payout pattern to account for a change in the claim settlement rate across accident years.
On 23 November Glenn Meyers gave a fascinating talk about The Bayesian Revolution in Stochastic Loss Reserving at the 10th Bayesian Mixer Meetup in London.
Glenn Meyers speaking at the Bayesian Mixer
Glenn worked for many years as a research actuary at Verisk/ ISO, he helped to set up the CAS Loss Reserve Database and published a monograph on Stochastic loss reserving using Bayesian MCMC models.
In this blog post I will go through the Correlated Log-normal Chain-Ladder Model from his presentation.
After six years on Google’s Blogger platform I migrated my blog to Hugo. Blogger was a great platform to start blogging, it was/ is very easy to set up, and perhaps most importantly I didn’t have to invest time or money to test if I enjoyed writing a blog.
However, over the last year or so, a couple of things started to annoy me so much that I stopped enjoying writing posts on Blogger.
The fifth R in Insurance conference took place at Ecole Nationale de la Statistique et de l’Administration Economique, Paris on 8 June 2017.
This one-day conference focused once more on the wide range of applications of R in insurance, actuarial science and beyond. The conference programme covered topics including reserving, pricing, loss modelling, the use of R in a production environment and also new statistical methods such as big data analysis.
The programme for the 2017 R in Insurance conference in Paris has been published. Talks will discuss new ideas and research with the applications in life and general insurance, from network analysis, reserving, pricing to catastrophe modelling, followed by a conference dinner at the Musée d’Orsay. Registration is open until 22 May.
Agenda 9:00 am - 9:10 am Welcome - Julien Pouget (Directeur de l’ENSAE)
9:10 am - 10:00 am Opening Keynote Session Textual analysis of expert reports to increase knowledge of technological risks - Julie Seguela, Covea 10:00 am - 11:00 am Session 1 - big data 10:00 - 10:20 › Network Analytics in Claims Level Predictive Modelling - Marcela Granados, Ernst & Young