Robust Bayesian analysis of loss reserving data using scale mixtures distributions

DOI10.1080/02664763.2015.1063115OpenAlexW1813521933MaRDI QIDQ5138002FDOQ5138002

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

Publication date: 3 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2015.1063115

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zbMATH Keywords

Gibbs samplerrobustnessOpenBUGSheavy-tailed distributionsscale mixtures of normalloss reserving modelscale mixtures of uniform

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Slice sampling. (With discussions and rejoinder)
• Bayesian Measures of Model Complexity and Fit
• Title not available (Why is that?)
• Title not available (Why is that?)
• Principal Applications of Bayesian Methods in Actuarial Science
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• SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
• Title not available (Why is that?)
• A note on bounded influence in Bayesian analysis
• Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
• Bayesian student-t stochastic volatility models via scale mixtures
• Title not available (Why is that?)
• Scale Mixtures Distributions in Insurance Applications
• Lognormal mixed models for reported claims reserves
• Claims Reserving Using Tweedie's Compound Poisson Model
• Claims reserving and generalised additive models
• Paid-incurred chain claims reserving method
• A normal scale mixture representation of the logistic distribution
• Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
• Forecasting runoff triangles
• Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
• IBNR models with random delay distributions
• Bayesian Estimation of Outstanding Claim Reserves
• Prediction of Outstanding Claims: A Hierarchical Credibility Approach

Cited In (12)

• Copula based Bayesian data analysis of loss reserving
• A Bayesian analysis of clusters of extreme losses
• A new look at the inverse Gaussian distribution with applications to insurance and economic data
• Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
• Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
• Modeling loss data using mixtures of distributions
• New loss reserve models with persistence effects to forecast trapezoidal losses in run-off triangles
• Ensemble distributional forecasting for insurance loss reserving
• Skew mixture models for loss distributions: a Bayesian approach
• Fitting insurance and economic data with outliers: a flexible approach based on finite mixtures of contaminated gamma distributions
• Individual loss reserving with the multivariate skew normal framework
• Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics

Uses Software

• WinBUGS
• BUGS

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