A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving

North American Actuarial Journal

Volumn 8, Issue 3, 2004, Pages 67-89

  Verrall, R J ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011165211     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2004.10596152     Document Type: Article

References (11)

1. BENKTANDER, GUNNAR. 1976. “An Approach to Credibility in Calculating IBNR for Casualty Excess Reinsurance,” The Actuarial Review (April): 7.
2. BORNHUETTER, RONALD L., and RONALD E. FERGUSON. 1972. “The Actuary and IBNR.” In Proceedings of the Casualty Actuarial Society 59: 181-95.
3. DE ALBA, ENRIQUE. 2002. “Bayesian Estimation of Outstanding Claims Reserves,” North American Actuarial Journal 6(4): 1-20.
4. ENGLAND, PETER D., and R. J. VERRALL. 2002. “Stochastic Claims Reserving in General Insurance” (with discussion), British Actuarial Journal (8): 443-544.
5. NTZOUFRAS, IOANNIS, and PETROS DELLAPORTAS. 2002. “Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty,” North American Actuarial Journal 6(1): 113-28.
6. MACK, THOMAS. 2000. “Credible Claims Reserves: The Benktander Method,” ASTIN Bulletin 30: 333-47.
7. RENSHAW, ARTHUR E., and R. J. VERRALL. 1998. “A Stochastic Model Underlying the Chain Ladder Technique,” British Actuarial Journal 4(4): 903-23.
8. SCOLLNIK, DAVID P. M. 2001. “Actuarial Modeling with MCMC and BUGS,” North American Actuarial Journal 5(2): 96-124.
9. SPIEGELHALTER, DAVID J., ANDREW THOMAS, NICKY G. BEST, and WALLY R. GILKS. 1996. BUGS 0.5: Bayesian inference using gibbs sampling. Cambridge, U.K.: MRC Biostatistics Unit.
10. TAYLOR, GREG C. 2000. Loss Reserving: An Actuarial Perspective. Dordrecht, the Netherlands: Kluwer Academic Publishers.
11. VERRALL, RICHARD J. 2000. “An Investigation into Stochastic Claims Reserving Models and the Chain-Ladder Technique,” Insurance: Mathematics & Economics 26: 91-9.