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Full Bayesian analysis of claims reserving uncertainty

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1-s2.0-S016766871630213X-main.pdf (737.7Kb)
Date
2017-01-05
Author
Peters, Gareth W.
Targino, Rodrigo dos Santos
Wüthrich, Mario V.
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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.
URI
https://hdl.handle.net/10438/28298
Collections
  • FGV EMAp - Artigos [18]
Knowledge Areas
Matemática
Subject
Teoria bayesiana de decisão estatística
Keyword
Algorítmos

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