Full Bayesian analysis of claims reserving uncertainty

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

Research output: Contribution to journalArticle

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 variance parameters, because this empirical Bayesian framework allows us for closed form solutions. The main purpose of this paper is to develop the full Bayesian case also considering prior distributions for variance parameters, and to study the resulting sensitivities.
Original languageEnglish
Pages (from-to)41-53
Number of pages13
JournalInsurance: Mathematics and Economics
Volume73
Early online date5 Jan 2017
DOIs
Publication statusPublished - 1 Mar 2017

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