Ercole, Carnevale Giulio; Paolo, Clemente Gian - In: Risks : open access journal 8 (2020) 4/125, pp. 1-20
The goal of this paper was to exploit the Bayesian approach and MCMC procedures to structure an internal model to quantify the reserve risk of a non-life insurer under Solvency II regulation. To this aim, we provide an extension of the Correlated Chain Ladder (CCL) model to the one-year time...