Full Bayesian analysis of claims reserving uncertainty

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

doi:10.1016/j.insmatheco.2016.12.007

Full Bayesian analysis of claims reserving uncertainty

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

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

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 language	English
Pages (from-to)	41-53
Number of pages	13
Journal	Insurance: Mathematics and Economics
Volume	73
Early online date	5 Jan 2017
DOIs	https://doi.org/10.1016/j.insmatheco.2016.12.007
Publication status	Published - 1 Mar 2017

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10.1016/j.insmatheco.2016.12.007

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title = "Full Bayesian analysis of claims reserving uncertainty",

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.",

author = "Peters, {Gareth W.} and Targino, {Rodrigo S.} and W{\"u}thrich, {Mario V.}",

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AU - Targino, Rodrigo S.

AU - Wüthrich, Mario V.

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N2 - 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.

AB - 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.

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U2 - 10.1016/j.insmatheco.2016.12.007

DO - 10.1016/j.insmatheco.2016.12.007

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SN - 0167-6687

VL - 73

SP - 41

EP - 53

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

ER -

Full Bayesian analysis of claims reserving uncertainty

Abstract

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