Second-order Bayesian revision of a generalised linear model

DOI10.1080/03461230701287517zbMATH Open1224.62015OpenAlexW1986519781MaRDI QIDQ3077720FDOQ3077720

Authors: Greg Taylor 

Publication date: 22 February 2011

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

Full work available at URL: http://hdl.handle.net/11343/34352

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zbMATH Keywords

Kalman filtergeneralized linear modelloss reservingexponential dispersion familydynamic generalized linear modelBayesian revisioncompanion canonical link

Mathematics Subject Classification ID

Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)

Cites Work

• Markov chains for exploring posterior distributions. (With discussion)
• Stochastic processes and filtering theory
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Title not available (Why is that?)
• Monte Carlo sampling methods using Markov chains and their applications
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
• Filtering and Smoothing Via Estimating Functions
• Credibility theory: A new view from the theory of second order optimal statistics.
• Exponential dispersion models and credibility
• Actuarial Modeling with MCMC and BUGs
• Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
• Regression Models for Bivariate Loss Data
• The scan sampler for time series models
• Bayesian Estimation of Outstanding Claim Reserves
• Second Order Bayes Prediction of Functionals of Exponential Dispersion Distributions and an Application to the Prediction of the Tails

Cited In (2)

• Hereditarity of potential matrices and positive affine prediction of nonnegative risks from mixture models
• A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

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