Demonstrates Bayesian revision enhancing claims reserving in general insurance, suggesting improved accuracy in predictions.
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.
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Taylor et al. (2009) studied this question.
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