Abstract
This paper applies the exponential dispersion family with its associate conjugates to the claims reserving problem. This leads to a formula for the claims reserves that is equivalent to applying credibility weights to the chain-ladder reserves and Bornhuetter-Ferguson reserves.
Volume
1
Issue
2
Page
0292-0301
Year
2007
Keywords
Claims reserves, chain-ladder method, Bornhuetter-Ferguson method, Benktander-Hovinen method, Bayesian inference, exponential dispersion model, credibility theory
Categories
Financial and Statistical Methods
Statistical Models and Methods
Bayesian Methods
Actuarial Applications and Methodologies
Reserving
Claims Handling
Actuarial Applications and Methodologies
Reserving
Reserving Methods
Financial and Statistical Methods
Credibility
Publications
Variance
