Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution

DOI10.2143/AST.38.1.2030411MaRDI QIDQ3395771zbMATH OpenOpenAlexFDO

Authors Jennifer S. K. Chan, S. T. Boris Choy, Udi E. Makov

Publication date 13 September 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.38.1.2030411

zbMATH Keywords

Bayesian approachdeviance information criterionscale mixtures of uniform distributionstate space modelthreshold model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

• A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
• A new look at the statistical model identification
• Actuarial Modeling with MCMC and BUGs
• Bayesian Assessment of the Distribution of Insurance Claim Counts Using Reversible Jump MCMC
• Bayesian Measures of Model Complexity and Fit
• Estimating the dimension of a model
• Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables
• Hierarchical models with scale mixtures of normal distributions
• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• Monte Carlo sampling methods using Markov chains and their applications
• Nonparametric Bayesian data analysis
• On the Analysis of the Truncated Generalized Poisson Distribution Using a Bayesian Method
• Posterior expectations for large observations
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Robust Location and Scale Estimation Based on the Univariate Generalizedt(GT) Distribution

Cited in

(19)

• Predictive stop-loss premiums and Student's t-distribution
• Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves
• Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function
• Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
• Loss amount prediction from textual data using a double GLM with shrinkage and selection
• Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models
• Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions
• MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
• Risk margin quantile function via parametric and non-parametric Bayesian approaches
• Deriving robust Bayesian premiums under bands of prior distributions with applications
• Modelling stochastic volatility using generalized t distribution
• A non-convex regularization approach for stable estimation of loss development factors
• New loss reserve models with persistence effects to forecast trapezoidal losses in run-off triangles
• Robust Bayesian analysis of loss reserving data using scale mixtures distributions
• Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance
• On the distribution of discounted loss reserves using generalized linear models
• Copula based Bayesian data analysis of loss reserving
• Probabilistic loss reserving prediction via denoising diffusion model
• A Bayesian nonparametric model and its application in insurance loss prediction

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