Abstract
This paper investigates the practical aspects of applying the second-order Bayesian revision of a generalized linear model (GLM) to form an adaptive filter for claims reserving. It discusses the application of such methods to three typical models used in Australian general insurance circles. Extensions, including the application of bootstrapping to an adaptive filter and the blending of results from the three models, are considered.
Volume
3
Issue
1
Page
105-130
Year
2009
Keywords
Adaptive filter, adaptive reserving, Bayesian revision, bootstrap, dynamic generalized linear model, DGLM, loss reserving, model blending, stochastic reserving, predictive analytics
Categories
Financial and Statistical Methods
Statistical Models and Methods
Bayesian Methods
Financial and Statistical Methods
Statistical Models and Methods
Boot-Strapping and Resampling Methods
Financial and Statistical Methods
Statistical Models and Methods
Generalized Linear Modeling
Actuarial Applications and Methodologies
Reserving
Publications
Variance
