The intention of this paper is to analyse the mean square error of prediction (MSEP) under the distribution-free chain ladder (DFCL) claims reserving method. We compare the estimation obtained from the classical bootstrap method with the one obtained from a Bayesian bootstrap. To achieve this in...

We revisit the gamma-gamma Bayesian chain-ladder (BCL) model for claims reserving in non-life insurance. This claims reserving model is usually used in an empirical Bayesian way using plug-in estimates for variance parameters, because this empirical Bayesian framework allows us for closed form...

The main objective of this work is to develop a detailed step-by-step guide to the development and application of a new class of efficient Monte Carlo methods to solve practically important problems faced by insurers under the new solvency regulations. In particular, a novel Monte Carlo method...

In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of different risk categories and between severities of different...

To meet the Basel II regulatory requirements for the Advanced Measurement Approaches, the bank's internal model must include the use of internal data, relevant external data, scenario analysis and factors reflecting the business environment and internal control systems. Quantification of...