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Bayesian Overdispersed Poisson Model and the Bornhuetter-Ferguson Claim Reserving Method

England, P. D., Verrall, R. J. and Wüthrich, M. V. (2012). Bayesian Overdispersed Poisson Model and the Bornhuetter-Ferguson Claim Reserving Method. Annals of Actuarial Science, 6(2), pp. 258-283. doi: 10.1017/S1748499512000012

Abstract

We consider the Bayesian overdispersed 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.

Publication Type: Article
Additional Information: Copyright 2012, Cambridge University Press
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/3801
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