A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving

DOI10.1080/10920277.2004.10596152zbMath1085.62516OpenAlexW2031126475MaRDI QIDQ5715978

Richard J. Verrall

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596152

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)

Related Items (21)

Loss prediction based on run-off triangles ⋮ Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels ⋮ BAYESIAN CHAIN LADDER MODELS ⋮ EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS ⋮ A Pareto scale-inflated outlier model and its Bayesian analysis ⋮ Claims reserving in the hierarchical generalized linear model framework ⋮ Prediction error for credible claims reserves: an \(h\)-likelihood approach ⋮ A Bayesian Log-Normal Model for Multivariate Loss Reserving ⋮ Double Chain Ladder and Bornhuetter-Ferguson ⋮ Stochastic Payments per Claim Incurred ⋮ A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING ⋮ Predictive Distributions for Reserves which Separate True IBNR and IBNER Claims ⋮ Claims reserving: A correlated Bayesian model ⋮ A Damaged Generalised Poisson Model and its Application to Reported and Unreported Accident Counts ⋮ Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method ⋮ Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution ⋮ The Bühlmann-Straub estimation of claim means in random B-F reserve model ⋮ Incorporating expert opinion into a stochastic model for the chain-ladder technique ⋮ Diagonal effects in claims reserving ⋮ Claims Reserving When There Are Negative Values in the Runoff Triangle ⋮ Predictive Modeling with Longitudinal Data

Uses Software

• BUGS

Cites Work

• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Credible Claims Reserves: the Benktander Method

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