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The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach

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  • Gisler, Alois

Abstract

We derive the estimation error in a Bayesian framework and discuss the estimates of Mack and of Buchwalder, Bühlmann, Merz and Wüthrich (BBMW) from a Bayesian point of view.

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  • Gisler, Alois, 2006. "The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach," ASTIN Bulletin, Cambridge University Press, vol. 36(2), pages 554-565, November.
    • Handle: RePEc:cup:astinb:v:36:y:2006:i:02:p:554-565_01
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    Cited by:

    1. Boratyńska, Agata, 2017. "Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 135-140.
    2. Peters, Gareth W. & Targino, Rodrigo S. & Wüthrich, Mario V., 2017. "Full Bayesian analysis of claims reserving uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 41-53.
    3. Nils Engler & Filip Lindskog, 2023. "Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting," Papers 2310.12056, arXiv.org.
    4. Fröhlich, Andreas & Weng, Annegret, 2018. "Parameter uncertainty and reserve risk under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 130-141.
    5. Wüthrich, Mario V., 2008. "Prediction error in the chain ladder method," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 378-388, February.

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