volume 8, issue 3, P443-518 2002
DOI: 10.1017/s1357321700003809
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P.D. England, R.J. Verrall

Abstract: This paper considers a wide range of stochastic reserving models for use in general insurance, beginning with stochastic models which reproduce the traditional chain-ladder reserve estimates. The models are extended to consider parametric curves and smoothing models for the shape of the development run-off, which allow extrapolation for the estimation of tail factors. The Bornhuetter-Ferguson technique is also considered, within a Bayesian framework, which allows expert opinion to be used to provide prior est…

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