BAYESIAN CHAIN LADDER MODELS

DOI10.1017/asb.2014.25zbMath1390.62223OpenAlexW2148749463MaRDI QIDQ4563729

Greg Taylor

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2014.25

zbMATH Keywords

exponential dispersion familychain ladderBornhuetter-FergusonTweedie familyBayesian chain laddercolumn effectscross-classified modelMack modelover-dispersed Poissonrow effects

Mathematics Subject Classification ID

Related Items (7)

Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach ⋮ EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS ⋮ A Cape Cod model for the exponential dispersion family ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ⋮ A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING ⋮ Neural network embedding of the over-dispersed Poisson reserving model ⋮ A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL

Cites Work

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• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model
• MAXIMUM LIKELIHOOD AND ESTIMATION EFFICIENCY OF THE CHAIN LADDER
• Credibility for the Chain Ladder Reserving Method
• Exponential dispersion models and credibility
• Fitting Tweedie's compound poisson model to insurance claims data
• A Bayesian Log-Normal Model for Multivariate Loss Reserving
• “A Bayesian Log-Normal Model for Multivariate Loss Reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012
• A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving

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