Using a Bayesian Approach for Claims Reserving
By Mario Wuthrich
This paper applies the exponential dispersion family with its associate conjugates to the claims reserving problem. This leads to a formula for the claims reserves that is equivalent to applying credibility weights to the chain-ladder reserves and Bornhuetter-Ferguson reserves.
KEYWORDS: Claims reserves, chain-ladder method, Bornhuetter-Ferguson method, Benktander-Hovinen method, Bayesian inference, exponential dispersion model, credibility theory