Bayesian analysis of compound loss distributions

DOI10.1016/S0304-4076(97)00010-9zbMath0873.62117MaRDI QIDQ1362061

Jeffrey S. Pai

Publication date: 4 November 1997

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

zbMATH Keywords

model selectionforecastingmodel uncertaintyaggregate claim amountreinsuranceposterior probabilityMCMCpredictive distributionposterior probabilitiescollective losscompound loss distributioninsurance lossesreinsurance treatiessampling based methods

Mathematics Subject Classification ID

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

Related Items (7)

Fuzzy formulation of the Lee-Carter model for mortality forecasting ⋮ Credibility Estimation of Distribution Functions with Applications to Experience Rating in General Insurance ⋮ Actuarial Modeling with MCMC and BUGs ⋮ A Bayesian Approach to Understanding Time Series Data ⋮ Hierarchical Bayesian collective risk model: an application to health insurance ⋮ A discussion of parameter and model uncertainty in insurance ⋮ On the Analysis of the Truncated Generalized Poisson Distribution Using a Bayesian Method

Cites Work

• Compound Poisson models in actuarial risk theory
• Bayes inference in regression models with ARMA\((p,q)\) errors
• Markov chains for exploring posterior distributions. (With discussion)
• Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models
• The Intrinsic Bayes Factor for Model Selection and Prediction
• Optimal reinsurances
• Sampling-Based Approaches to Calculating Marginal Densities
• Random number generators for compound distributions
• Monte Carlo sampling methods using Markov chains and their applications
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