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Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model

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  • Wüthrich, Mario V.

Abstract

Tables 2 and 3 in England et al. (2012) raise the conjecture that the claims reserves in the Bayesian over-dispersed Poisson (BODP) model with non-informative gamma priors are equal to the claims reserves in the chain-ladder (CL) model (the small differences in the figures could be explained by simulation inaccuracy). We give a counter-example to this conjecture. Moreover, we show that, working with non-informative priors needs a lot of care because a naïve treatment may lead to improper posterior distributions.

Suggested Citation

  • Wüthrich, Mario V., 2013. "Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 352-358.
    • Handle: RePEc:eee:insuma:v:52:y:2013:i:2:p:352-358
    DOI: 10.1016/j.insmatheco.2013.02.002
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    References listed on IDEAS

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    1. Mack, Thomas & Venter, Gary, 2000. "A comparison of stochastic models that reproduce chain ladder reserve estimates," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 101-107, February.
    2. England, P.D. & Verrall, R.J., 2002. "Stochastic Claims Reserving in General Insurance," British Actuarial Journal, Cambridge University Press, vol. 8(3), pages 443-518, August.
    3. Verrall, R. J. & England, P. D., 2000. "Comments on: "A comparison of stochastic models that reproduce chain ladder reserve estimates", by Mack and Venter," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 109-111, February.
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