Work

Bayesian over-dispersed Poisson model and the Bornhuetter & Ferguson claims reserving method

Year: 2012

Type: article

Abstract: We consider the Bayesian over-dispersed Poisson (ODP) model for claims reserving in general insurance. We choose two different types of prior distributions for the parameters and then study the different Bayesian predictors. This study leads, on the one hand, to the classical chain ladder predictor and, on the other hand, to Bornhuetter & Ferguson predictors. We highlight (either analytically or numerically) how these predictors are obtained and how their prediction uncertainty can be determined.

Source: Annals of Actuarial Science

DOI: 10.1017/s1748499512000012

Authors: Peter D. England, Richard J. Verrall, Mario V. Wüthrich

Institutions: Willis Towers Watson (United Kingdom), City, University of London, ETH Zurich

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2159767989

FWCI: 5.515

Cites: 18

Cited by: 31

Related to: 10