Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model

Mario V. Wüthrich

Insurance: Mathematics and Economics, 2013, vol. 52, issue 2, 352-358

Abstract: Tables 2 and 3 in England et al. (2012) raise the conjecture that the claims reserves in the Bayesian over-dispersed Poisson (BODP) model with non-informative gamma priors are equal to the claims reserves in the chain-ladder (CL) model (the small differences in the figures could be explained by simulation inaccuracy). We give a counter-example to this conjecture. Moreover, we show that, working with non-informative priors needs a lot of care because a naïve treatment may lead to improper posterior distributions.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:52:y:2013:i:2:p:352-358

DOI: 10.1016/j.insmatheco.2013.02.002

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