Obtaining Predictive Distributions for Reserves Which Incorporate Expert Opinion

This paper shows how expert opinion can be inserted into a stochastic framework for claims reserving. The reserving methods used are the chain-ladder technique and Bornhuetter-Ferguson, and the stochastic framework follows England and Verrall (2062). Although stochastic models have been studied, there are 2 main obstacles to their more frequent use in practice: ease of implementation and adaptability to user needs. This paper attempts to address these obstacles by utilising Bayesian methods, and describing in some detail the implementation, using freely available software and programs supplied in the Appendix. Keywords: Bayesian Statistics, Bornhuetter-Ferguson, Chain-ladder, Claims Reserving, Risk