Quantifying the Uncertainty in Claim Severity Estimates for an Excess Layer When Using the Single Parameter Pareto by Glenn Meyers [Discussion]

While actuaries have had a Bayesian view of the world for decades, the adoption of methods that adhere strictly to the principles of modern Bayesian analysis has been slow. In his paper, Glenn Meyers shows that for a particular problem such an approach is not only feasible, but easy to complete. I am delighted that he has continued to take up the Bayesian cause, and with this note, I hope to provide just two extensions. One is to demonstrate that Meyers employed an approximation that was not needed for the particular prior distribution. The other is to provide an example that will confirm that his suggestions are indeed not limited to the Pareto distribution nor to one-parameter distributions. Keywords: Reinsurance, Size of Loss Distributions