Second-order Bayesian revision of a generalised linear model

DOI10.1080/03461230701287517MaRDI QIDQ3077720zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayesian revisioncompanion canonical linkdynamic generalized linear modelexponential dispersion familygeneralized linear modelKalman filterloss reserving

Mathematics Subject Classification ID

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

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Cites work

• Actuarial Modeling with MCMC and BUGs
• Bayesian Estimation of Outstanding Claim Reserves
• Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
• Credibility theory: A new view from the theory of second order optimal statistics.
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Exponential dispersion models and credibility
• Filtering and Smoothing Via Estimating Functions
• scientific article; zbMATH DE number 3945130 (Why is no real title available?)
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• On Kalman filtering, posterior mode estimation and Fisher scoring in dynamic exponential family regression
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Regression Models for Bivariate Loss Data
• Second Order Bayes Prediction of Functionals of Exponential Dispersion Distributions and an Application to the Prediction of the Tails
• Stochastic processes and filtering theory
• The scan sampler for time series models

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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