Bayesian Claims Reserving Methods in Non-life Insurance with Stan: An Introduction

Bayesian models are very popular in non-life claims reserving. This monograph provides a review of Bayesian claims reserving models and their underlying Bayesian inference theory. It investigates three types of claims reserving models in Bayesian framework: chain ladder models, basis expansion models involving tail factor, and multivariate copula models. One of the core techniques in Bayesian modeling is inferential methods. This monograph largely relies on Stan, a spe- cialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes. This monograph has the following three distinguishing features: