Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function

Abstract

The exponential families with quadratic variance function, conjugate families of priors and square loss function is applied to the prediction of claim reserves. The robustness with respect to the priors is considered. The uncertainty of the prior information is modeled by two different classes of priors. The posterior regret Γ-minimax estimators and predictors are constructed.