Adaptive Reserving using Bayesian Revision for the Exponential Dispersion Family
By Greg Taylor, Grainne McGuire
Abstract
This paper investigates the practical aspects of applying the second-order Bayesian revision of a generalized linear model (GLM) to form an adaptive filter for claims reserving. It discusses the application of such methods to three typical models used in Australian general insurance circles. Extensions, including the application of bootstrapping to an adaptive filter and the blending of results from the three models, are considered.
KEYWORDS: Adaptive filter, adaptive reserving, Bayesian revision, bootstrap, dynamic generalized linear model, DGLM, loss reserving, model blending, stochastic reserving
Citation
Taylor, Greg, and Grainne McGuire, "Adaptive Reserving using Bayesian Revision for the Exponential Dispersion Family," Variance 3:1, 2009, pp. 105-130.Taxonomy Classifications
- Financial and Statistical Methods > Statistical Models and Methods > Bayesian Methods
- Financial and Statistical Methods > Statistical Models and Methods > Boot-Strapping and Resampling Methods
- Financial and Statistical Methods > Statistical Models and Methods > Generalized Linear Modeling
- Actuarial Applications and Methodologies > Reserving