A gamma moving average process for modelling dependence across development years in run-off triangles

Abstract

We propose a stochastic model for claims reserving that captures dependence along development years within a single triangle. This dependence is of autoregressive form of order and is achieved through the use of latent variables. We carry out bayesian inference on model parameters and borrow strength across several triangles, coming from different lines of businesses or companies, through the use of hierarchical priors.

Publication
ASTIN Bulletin: The Journal of the IAA