Using a Bayesian Approach for Claims Reserving

By Mario Wuthrich

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Abstract

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

Citation

Wuthrich, Mario, "Using a Bayesian Approach for Claims Reserving," Variance 1:2, 2007, pp. 292-301.

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Mission Statement

Variance (ISSN 1940-6452) is a peer-reviewed journal published by the Casualty Actuarial Society to disseminate work of interest to casualty actuaries worldwide. The focus of Variance is original practical and theoretical research in casualty actuarial science. Significant survey or similar articles are also considered for publication. Membership in the Casualty Actuarial Society is not a prerequisite for submitting papers to the journal and submissions by non-CAS members is encouraged.