Bayesian models in actuarial mathematics (Q1298739)

The paper provides a unifying survey of Bayesian models in different areas of actuarial mathematics. Bayesian models are discussed with regard to claim number processes, experience rating, and experience reserving. The asymptotic properties of the Bayes and credibility premiums and their losses are studied. The problem of finding a minimax decision when a least favourable probability measure does not exist or cannot be found is considered. Most models are parametric, but experience rating is also considered in the case of vague prior information. A recent nonparametric model of experience reserving which provides a partial justification of the chain ladder method is presented.