A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving

R. J. Verrall

North American Actuarial Journal, 2004, vol. 8, issue 3, 67-89

Abstract: This paper shows how Bayesian models within the framework of generalized linear models can be applied to claims reserving. The author demonstrates that this approach is closely related to the Bornhuetter-Ferguson technique. Benktander (1976) and Mack (2000) previously studied the Bornhuetter-Ferguson technique and advocated using credibility models. The present paper uses a Bayesian parametric model within the framework of generalized linear models.

Date: 2004
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DOI: 10.1080/10920277.2004.10596152

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