Full Bayesian Analysis of Claims Reserving Uncertainty

20 Pages Posted: 24 May 2016

See all articles by Gareth Peters

Gareth Peters

University of California Santa Barbara; University of California, Santa Barbara

Rodrigo Targino

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics

Mario V. Wuthrich

RiskLab, ETH Zurich

Date Written: May 20, 2016

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 variance parameters, because this empirical Bayesian framework allows us for closed form solutions. The main purpose of this paper is to develop the full Bayesian case also considering prior distributions for 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, Runoff Uncertainty, Full Bayesian Chain-Ladder Model

JEL Classification: G22

Suggested Citation

Peters, Gareth and Targino, Rodrigo and Wuthrich, Mario V., Full Bayesian Analysis of Claims Reserving Uncertainty (May 20, 2016). Available at SSRN: https://ssrn.com/abstract=2783223 or http://dx.doi.org/10.2139/ssrn.2783223

Gareth Peters

University of California Santa Barbara ( email )

Santa Barbara, CA 93106
United States

University of California, Santa Barbara ( email )

Rodrigo Targino

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics ( email )

Praia de Botafogo
Rio de Janeiro, 22250-900
Brazil

HOME PAGE: http://rtargino.netlify.app/

Mario V. Wuthrich (Contact Author)

RiskLab, ETH Zurich ( email )

Department of Mathematics
Ramistrasse 101
Zurich, 8092
Switzerland

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