Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution

DOI10.2143/AST.38.1.2030411zbMath1169.91384OpenAlexW2149536766MaRDI QIDQ3395771

Udi E. Makov, Jennifer So-Kuen Chan, S. T. Boris Choy

Publication date: 13 September 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.1.2030411

zbMATH Keywords

threshold modelstate space modelBayesian approachdeviance information criterionscale mixtures of uniform distribution

Mathematics Subject Classification ID

Related Items (11)

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION ⋮ RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models ⋮ Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions ⋮ Robust Bayesian analysis of loss reserving data using scale mixtures distributions ⋮ DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS ⋮ Modelling stochastic volatility using generalizedtdistribution ⋮ Bayesian analysis of loss reserving using dynamic models with generalized beta distribution

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