Actuarial Modeling with MCMC and BUGs

DOI10.1080/10920277.2001.10595987zbMath1083.62543OpenAlexW2118641598MaRDI QIDQ5718207

David P. M. Scollnik

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2001.10595987

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Measuring the effect of mortality improvements on the cost of annuities ⋮ Duration dependence models for claim counts ⋮ Fuzzy formulation of the Lee-Carter model for mortality forecasting ⋮ A Pareto scale-inflated outlier model and its Bayesian analysis ⋮ Bayesian modelling of the time delay between diagnosis and settlement for critical illness insurance using a Burr generalised-linear-type model ⋮ Conformal Prediction Credibility Intervals ⋮ A review of Bayesian asymptotics in general insurance applications ⋮ Paid-incurred chain claims reserving method ⋮ Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty ⋮ Bayesian Estimation of Outstanding Claim Reserves ⋮ Regression Models for Bivariate Loss Data ⋮ Comparing Credibility Estimates of Health Insurance Claims Costs ⋮ Actuarial Modeling with MCMC and BUGs ⋮ Hierarchical Bayesian collective risk model: an application to health insurance ⋮ Bayesian analysis of multicentre trial outcomes ⋮ Bayesian modelling of financial guarantee insurance ⋮ Modelling uncertainty in insurance Bonus–Malus premium principles by using a Bayesian robustness approach ⋮ Bayesian analysis of multicentre trial outcomes ⋮ Second-order Bayesian revision of a generalised linear model ⋮ A Damaged Generalised Poisson Model and its Application to Reported and Unreported Accident Counts ⋮ Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method ⋮ Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution ⋮ Two-part models for assessing misrepresentation on risk status ⋮ Incorporating expert opinion into a stochastic model for the chain-ladder technique ⋮ Claims Reserving When There Are Negative Values in the Runoff Triangle ⋮ Simulation of Compound Hierarchical Models in R ⋮ Sample Size Determination for Credibility Estimation

Uses Software

• R
• S-PLUS
• BUGS

Cites Work

• A Bayesian analysis of a simultaneous equations model for insurance rate-making
• State space modeling of non-standard actuarial time series
• Bayesian analysis of compound loss distributions
• Inference from iterative simulation using multiple sequences
• Markov chains for exploring posterior distributions. (With discussion)
• On the Analysis of the Truncated Generalized Poisson Distribution Using a Bayesian Method
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• A Bayes estimator for ordered parameters and isotonic Bayesian graduation
• Bayesian Analysis of Two Overdispersed Poisson Models
• Adaptive Rejection Sampling for Gibbs Sampling
• Monte Carlo sampling methods using Markov chains and their applications
• Actuarial Modeling with MCMC and BUGs
• A Bayesian Approach to Understanding Time Series Data
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