Full Bayesian analysis of claims reserving uncertainty
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...
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| Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2017-03, Vol.73, p.41-53 |
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| container_title | Insurance, mathematics & economics |
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| creator | Peters, Gareth W. Targino, Rodrigo S. Wüthrich, Mario V. |
| description | 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. |
| doi_str_mv | 10.1016/j.insmatheco.2016.12.007 |
| format | Article |
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| issn | 0167-6687 1873-5959 |
| language | eng |
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| source | Elsevier ScienceDirect Journals Complete |
| subjects | Algorithms Bayesian analysis Chain-ladder method Claims Claims development result Claims reserving uncertainty Conditional mean square error of prediction Empirical analysis Full Bayesian chain-ladder model Life insurance Mack’s formula Mathematical models Mean square errors Merz–Wüthrich’s formula Parameter estimation Parameter sensitivity Run-off uncertainty Uncertainty Variance analysis |
| title | Full Bayesian analysis of claims reserving uncertainty |
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