Bayesian over-dispersed Poisson model and the Bornhuetter & Ferguson claims reserving method

Peter D. England, Richard J. Verrall and Mario V. Wüthrich

Annals of Actuarial Science, 2012, vol. 6, issue 2, 258-283

Abstract: We consider the Bayesian over-dispersed Poisson (ODP) model for claims reserving in general insurance. We choose two different types of prior distributions for the parameters and then study the different Bayesian predictors. This study leads, on the one hand, to the classical chain ladder predictor and, on the other hand, to Bornhuetter & Ferguson predictors. We highlight (either analytically or numerically) how these predictors are obtained and how their prediction uncertainty can be determined.

Date: 2012
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