Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function

Agata Boratyńska

Insurance: Mathematics and Economics, 2017, vol. 76, issue C, 135-140

Abstract: The exponential families with quadratic variance function, conjugate families of priors and square loss function is applied to the prediction of claim reserves. The robustness with respect to the priors is considered. The uncertainty of the prior information is modeled by two different classes of priors. The posterior regret Γ-minimax estimators and predictors are constructed.

Keywords: Loss reserves; Exponential model with quadratic variance function; Classes of priors; ε-contamination; Posterior regret Γ-minimax estimation and prediction; Mean square error; Chain ladder factor (search for similar items in EconPapers)
JEL-codes: C11 C13 G22 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:76:y:2017:i:c:p:135-140

DOI: 10.1016/j.insmatheco.2017.07.007

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