A Pareto scale-inflated outlier model and its Bayesian analysis

DOI10.1080/03461238.2013.807469zbMath1398.62321arXiv1611.00717OpenAlexW1997781290MaRDI QIDQ4576794

David P. M. Scollnik

Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.00717

zbMATH Keywords

outliersBayesian analysisGibbs samplerinsurancePareto distributionmixture model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Exact distribution theory in statistics (62E15) Sampling theory, sample surveys (62D05)

Related Items

On the contaminated exponential distribution: a theoretical Bayesian approach for modeling positive-valued insurance claim data with outliers ⋮ On the three-component mixture of exponential distributions: a Bayesian framework to model data with multiple lower and upper outliers ⋮ Exact posterior distribution for nonconjugate Pareto models ⋮ FREQUENTIST INFERENCE IN INSURANCE RATEMAKING MODELS ADJUSTING FOR MISREPRESENTATION

Uses Software

• WinBUGS
• BayesDA

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Efficient estimation in the Pareto distribution with the presence of outliers
• Comments on two papers concerning estimation of the parameters of the Pareto distribution in the presence of outliers
• Bayesian Assessment of the Distribution of Insurance Claim Counts Using Reversible Jump MCMC
• Bayesian Modeling Using WinBUGS
• Care and Handling of Univariate Outliers in the General Linear Model to Detect Spuriosity: A Bayesian Approach
• Claims Reserving When There Are Negative Values in the Runoff Triangle
• On composite lognormal-Pareto models
• A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
• Actuarial Modeling with MCMC and BUGs