Full Bayesian analysis of claims reserving uncertainty

DOI10.1016/j.insmatheco.2016.12.007zbMath1416.91215OpenAlexW3124665688MaRDI QIDQ1681185

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

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://discovery.ucl.ac.uk/id/eprint/1552296/

zbMATH Keywords

conditional mean square error of predictionchain-ladder methodMack's formulaclaims development resultclaims reserving uncertaintyfull Bayesian chain-ladder modelMerz-Wüthrich's formularun-off uncertainty

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items

Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ Parameter uncertainty and reserve risk under Solvency II ⋮ Dispersion modelling of outstanding claims with double Poisson regression models

Cites Work

• The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
• Credibility for the Chain Ladder Reserving Method