Peters, GW;
Targino, RS;
Wüthrich, MV;
(2017)
Full Bayesian analysis of claims reserving uncertainty.
Insurance: Mathematics and Economics
, 73
pp. 41-53.
10.1016/j.insmatheco.2016.12.007.
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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.
| Type: | Article |
|---|---|
| Title: | Full Bayesian analysis of claims reserving uncertainty |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.insmatheco.2016.12.007 |
| Publisher version: | https://doi.org/10.1016/j.insmatheco.2016.12.007 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Chain-ladder method; claims reserving uncertainty; claims development result; Mack’s formula; Merz-Wüthrich’s formula; conditional mean square error of prediction; runoff uncertainty; full Bayesian chain-ladder model. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1552296 |
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