Bayesian analysis of aggregate loss models

DOI10.1111/J.1467-9965.2010.00428.XzbMATH Open1229.91152OpenAlexW1714600053WikidataQ61849261 ScholiaQ61849261MaRDI QIDQ3084599FDOQ3084599

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Publication date: 25 March 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00428.x

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zbMATH Keywords

Bayesian inferencemixturesMonte Carlo methodsLaplace transformationpredictive distributionsclaim count

Mathematics Subject Classification ID

Bayesian inference (62F15) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Monte Carlo sampling methods using Markov chains and their applications
• Contemporary Bayesian Econometrics and Statistics
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• A discussion of parameter and model uncertainty in insurance
• The Fourier-series method for inverting transforms of probability distributions
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• Reparameterisation issues in mixture modelling and their bearing on MCMC algorithms.
• Bayesian estimation for the \(M\)/\(G\)/1 queue using a phase-type approximation

Cited In (16)

• A Bayesian analysis of clusters of extreme losses
• Bayesian Assessment of the Distribution of Insurance Claim Counts Using Reversible Jump MCMC
• Bayesian estimation of finite time ruin probabilities
• Title not available (Why is that?)
• Multivariate Credibility for Aggregate Loss Models
• Regression Models for Bivariate Loss Data
• Analysis of an aggregate loss model in a Markov renewal regime
• Title not available (Why is that?)
• Bayesian analysis of a health insurance model
• Bayesian total loss estimation using shared random effects
• A Bayesian nonparametric approach to the estimation of the adjustment coefficient, with applications to insurance and telecommunications
• Sequential Monte Carlo samplers to fit and compare insurance loss models
• Bayesian modelling of health insurance losses
• Efficient and accurate approximate Bayesian inference with an application to insurance data
• BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
• Nonparametric analysis of aggregate loss models

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