David P.M. Scollnik Department of Mathematics and Statistics University of Calgary
This paper examines some new Bayesian models for loss reserving inspired by a consideration of some of the methods and techniques appearing in the traditional chain ladder literature.� This includes a possibly order restricted hierarchical Bayesian model for the year over year development factors.� A new Bornhuetter-Ferguson styled Bayesian method of estimate revision is also discussed. These Bayesian models are implemented using Markov chain Monte Carlo (MCMC) methods in WinBUGS (a software program for MCMC simulations).� Illustrative WinBUGS code is included.