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Credibility for the Chain Ladder Reserving Method
ASTIN Bulletin: The Journal of the International Actuarial Association
We consider the chain ladder reserving method in a Bayesian set up, which allows for combining the information from a specific claims development triangle with the information from a collective. That is, for instance, to consider simultaneously own company specific data and industry-wide data to estimate the own company's claims reserves. We derive Bayesian estimators and credibility estimators within this Bayesian framework. We show that the credibility estimators are exact Bayesian in thedoi:10.2143/ast.38.2.2033354 fatcat:kz7yot4i6rgjzk7krfq7c6zz4i