Bayesian and credibility estimation for the chain ladder reserving method
2011
Gisler and Wuthrich [8] describe how to calculate reserve
estimates by means of Credibility and Bayesian estimators based on the
development factors from different lines of business. This approach allows
combining individual and collective claims information to get better
estimations of the unknown reserves.
In this paper we compare the reserves estimates and the mean square error of
prediction from two different models: Credibility and Bayesian ones. The
objective is to show how the reserve estimates of these models are similar to
the classical chain ladder models under certain distributional assumptions.
The work includes a way of implementing the Bayesian model using Markov
Chain Monte Carlo methods with the programming tool WinBUGS [15].
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