BAYESIAN ASSESSMENT OF THE DISTRIBUTION OF INSURANCE CLAIM COUNTS USING REVERSIBLE JUMP MCMC

被引：15
|
作者：
Ntzoufras, Ioannis [1 ]
Katsis, Athanassios [2 ]
Karlis, Dimitris [1 ]
机构：
[1] Athens Univ Econ & Business, Dept Stat, 76 Patision St, GR-10434 Athens, Greece
[2] Univ Peloponnese, Dept Social & Educ Policy, GR-20100 Korinthos, Greece
来源：
NORTH AMERICAN ACTUARIAL JOURNAL | 2005年 / 9卷 / 03期
关键词：
D O I：
10.1080/10920277.2005.10596213
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The aim of this paper is to construct Bayesian model comparison tests between discrete distributions used for claim count modeling in the actuarial field. We use advanced computational techniques to estimate the posterior model odds among different distributions for claim counts. We construct flexible reversible jump Markov Chain Monte Carlo algorithms and implement them in various illustrated examples.
引用
收藏
页码：90 / 108
页数：19
相关论文
共 50 条
  • [1] Bayesian hypothesis testing for the distribution of insurance claim counts using the Gibbs sampler
    Katsis, Athanassios
    Ntzoufras, Ioannis
    [J]. JOURNAL OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING, 2005, 5 (03) : 201 - 214
  • [2] A bayesian approach to map QTLs using reversible jump MCMC
    da Silva, Joseane Padilha
    Leandro, Roseli Aparecida
    [J]. CIENCIA E AGROTECNOLOGIA, 2009, 33 (04): : 1061 - 1070
  • [3] Bayesian Volterra system identification using reversible jump MCMC algorithm
    Karakus, O.
    Kuruoglu, E. E.
    Altinkaya, M. A.
    [J]. SIGNAL PROCESSING, 2017, 141 : 125 - 136
  • [4] A Bayesian Lasso via reversible-jump MCMC
    Chen, Xiaohui
    Wang, Z. Jane
    McKeown, Martin J.
    [J]. SIGNAL PROCESSING, 2011, 91 (08) : 1920 - 1932
  • [5] Convergence assessment for reversible jump MCMC simulations
    Brooks, SP
    Giudici, P
    [J]. BAYESIAN STATISTICS 6, 1999, : 733 - 742
  • [6] Sequential reversible jump MCMC for dynamic Bayesian neural networks
    Nguyen, Nhat Minh
    Tran, Minh-Ngoc
    Chandra, Rohitash
    [J]. NEUROCOMPUTING, 2024, 564
  • [7] A Reversible Jump MCMC in Bayesian Blind Deconvolution With a Spherical Prior
    Traulle, Benjamin
    Bidon, Stephanie
    Roque, Damien
    [J]. IEEE SIGNAL PROCESSING LETTERS, 2022, 29 : 2372 - 2376
  • [8] Bayesian inference for mixtures of von Mises distributions using reversible jump MCMC sampler
    Mulder, Kees
    Jongsma, Pieter
    Klugkist, Irene
    [J]. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2020, 90 (09) : 1539 - 1556
  • [9] Bayesian conformational analysis of ring molecules through reversible jump MCMC
    Nolsoe, K
    Kessler, M
    Pérez, J
    Madsen, H
    [J]. JOURNAL OF CHEMOMETRICS, 2005, 19 (08) : 412 - 426
  • [10] A REVERSIBLE JUMP MCMC ALGORITHM FOR BAYESIAN CURVE FITTING BY USING SMOOTH TRANSITION REGRESSION MODELS
    Sanquer, Matthieu
    Chatelain, Florent
    El-Guedri, Mabrouka
    Martin, Nadine
    [J]. 2011 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, 2011, : 3960 - 3963
12345