Bayesian analysis of compound loss distributions

DOI10.1016/S0304-4076(97)00010-9MaRDI QIDQ1362061zbMATH OpenFDO

Authors Jeffrey S. Pai

Publication date 4 November 1997

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

model selectionforecastingMCMCmodel uncertaintypredictive distributionreinsuranceposterior probabilityposterior probabilitiesaggregate claim amountcollective losscompound loss distributioninsurance lossesreinsurance treatiessampling based methods

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3854261 (Why is no real title available?)
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• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Compound Poisson models in actuarial risk theory
• Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• Optimal reinsurances
• Random number generators for compound distributions
• Sampling-Based Approaches to Calculating Marginal Densities
• The Intrinsic Bayes Factor for Model Selection and Prediction

Cited in

(21)

• Credibility estimation of distribution functions with applications to experience rating in general insurance
• A Bayesian Approach to Understanding Time Series Data
• A Bayesian analysis of clusters of extreme losses
• Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
• Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
• Bayesian analysis of aggregate loss models
• A discussion of parameter and model uncertainty in insurance
• Robust Bayesian analysis of loss reserving data using scale mixtures distributions
• On the Analysis of the Truncated Generalized Poisson Distribution Using a Bayesian Method
• Regression Models for Bivariate Loss Data
• Predictive stop-loss premiums and Student's t-distribution
• scientific article; zbMATH DE number 2054512 (Why is no real title available?)
• Bayesian total loss estimation using shared random effects
• Study of loss distributions of property insurance under the influence of payment limitations and analysis of an example
• Sequential Monte Carlo samplers to fit and compare insurance loss models
• Bayesian modelling of health insurance losses
• Fuzzy formulation of the Lee-Carter model for mortality forecasting
• Bayesian prediction from a compound statistical model: an actuarial application
• On excess-of-loss reinsurance
• Hierarchical Bayesian collective risk model: an application to health insurance
• Actuarial Modeling with MCMC and BUGs

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