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North American Actuarial Journal Volume 9, 2005 - Issue 3
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“A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving,” R. J. Verrall, July 2004

Katrien Antonio University Center for Statistics, de Croylaan 54, 3001 Heverlee, Belgium, Katrien
,
Jan Beirlant University Center for Statistics, de Croylaan 54, 3001 Heverlee, Belgium
&
Tom Hoedemakers Department of Applied Economics, Catholic University Leuven, Naamsestraat 69, 3000 Leuven, Belgium; University Center for Statistics, de Croylaan 54, 3001 Heverlee, Belgium, Katrien
Pages 130-142 | Published online: 03 Jan 2013

References

  • de Alba , Enrique . 2002 . Bayesian Estimation of Outstanding Claims Reserves . North American Actuarial Journal , 6 ( 4 ) : 1 – 20 .
  • Dhaene , Jan , Denuit , Michel , Goovaerts , Marc , Kaas , Rob and Vyncke , David . 2002a . The Concept of Comonotonicity in Actuarial Science and Finance: Theory . Insurance: Mathematics and Economics , 31 ( 1 ) : 3 – 33 .
  • Dhaene , Jan , Denuit , Michel , Goovaerts , Marc , Kaas , Rob and Vyncke , David . 2002b . The Concept of Comonotonicity in Actuarial Science and Finance: Applications . Insurance: Mathematics and Economics , 31 ( 2 ) : 133 – 61 .
  • Hoedemakers , Tom , Beirlant , Jan , Goovaerts , Marc and Dhaene , Jan . 2003 . Confidence Bounds for Discounted Loss Reserves . Insurance: Mathematics and Economics , 33 ( 2 ) : 297 – 316 .
  • Hoedemakers , Tom , Beirlant , Jan , Goovaerts , Marc and Dhaene , Jan . 2005 . On the Distribution of Discounted Loss Reserves Using Generalized Linear Models . Scandinavian Actuarial Journal , : 25 – 45 .
  • Kaas , Rob , Dhaene , Jan and Goovaerts , Marc . 2000 . Upper and Lower Bounds for Sums of Random Variables . Insurance: Mathematics and Economics , 27 ( 2 ) : 151 – 68 .
  • Taylor , Greg and Ashe , Frank . 1983 . Second Moments of Estimates of Outstanding Claims . Journal of Econometrics , 23 : 37 – 61 .
  • Verrall , R. J. 2004 . A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving . North American Actuarial Journal , 8 ( 3 ) : 67 – 89 .

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