Full Bayesian analysis of claims reserving uncertainty

Gareth W. Peters, Rodrigo Targino and Mario V. Wüthrich

Insurance: Mathematics and Economics, 2017, vol. 73, issue C, 41-53

Abstract: 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 the variance parameters. The advantage of this empirical Bayesian framework is that allows us for closed form solutions. The main purpose of this paper is to develop the full Bayesian case also considering prior distributions for the variance parameters and to study the resulting sensitivities.

Keywords: Chain-ladder method; Claims reserving uncertainty; Claims development result; Mack’s formula; Merz–Wüthrich’s formula; Conditional mean square error of prediction; Run-off uncertainty; Full Bayesian chain-ladder model (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:73:y:2017:i:c:p:41-53

DOI: 10.1016/j.insmatheco.2016.12.007

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