Bayesian and credibility estimation for the chain ladder reserving method
作者： J. R. Sanchez , José Luis Vilar
DOI:
关键词: Variable-order Bayesian network 、 Engineering 、 Bayesian probability 、 Bayesian inference 、 Credibility 、 Mean squared error 、 Line of business 、 Econometrics 、 Estimator 、 Markov chain Monte Carlo
摘要: Gisler and Wuthrich [8] describe how to calculate reserve estimates by means of Credibility Bayesian estimators based on the development factors from different lines business. This approach allows combining individual collective claims information get better estimations the unknown reserves. In this paper we compare reserves estimates mean square error of prediction two models: ones. The objective is show reserve these models are similar to the classical chain ladder under certain distributional assumptions. The work includes a way implementing model using Markov Chain Monte Carlo methods with programming tool WinBUGS [15].
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