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Full Bayesian analysis of claims reserving uncertainty |
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| Affiliation: | 1. University College London, Department of Statistical Science, UK;2. ETH Zurich, RiskLab, Department of Mathematics, Switzerland;3. Swiss Finance Institute, Switzerland;1. University of Oslo, Norway;2. University of Barcelona, Spain;1. Amsterdam School of Economics, University of Amsterdam, The Netherlands;2. Faculty of Actuarial Science and Insurance, Cass Business School, City University London, United Kingdom;3. RiskLab, Department of Mathematics, ETH Zurich, Switzerland;1. École d’Actuariat, Université Laval, Canada;2. Département de mathématiques, UQAM, Canada;1. Royal Bank of Canada, RBC Insurance, 6880 Financial Drive, Mississauga, Ontario L5N 7Y5, Canada;2. Department of Econometrics, Riskcenter-IREA, University of Barcelona, Diagonal 690, E-08034 Barcelona, Spain |
| Abstract: | We revisit the gamma–gamma Bayesian chain-ladder (BCL) model for claims reserving in non-life insurance. This claims reserving model is usually used in an empirical Bayesian way using plug-in estimates for the variance parameters. The advantage of this empirical Bayesian framework is that allows us for closed form solutions. The main purpose of this paper is to develop the full Bayesian case also considering prior distributions for the variance parameters and to study the resulting sensitivities. |
| Keywords: | Chain-ladder method Claims reserving uncertainty Claims development result Mack’s formula Merz–Wüthrich’s formula Conditional mean square error of prediction Run-off uncertainty Full Bayesian chain-ladder model |
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