Ioannis Ntzoufras

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Bayesian Assessment of the Distribution of Insurance Claim Counts
Using Reversible Jump MCMC

I. Ntzoufras, A. Katsis and D. Karlis (2005)

North American Actuarial Journal, 9, 90-108.

Abstract


The aim of this paper is to construct Bayesian model comparison tests between discrete distributions used for claim count in the actuarial field. We use advanced techniques to estimate the posterior odds amongst different distributions for claim counts. We construct flexible reversible jump Markov Chain Monte Carlo algorithms and implement them in various illustrated examples.

Keywords: Generalized Poisson,  Hypothesis Tests,  Lagrangian Poisson, Markov Chain Monte Carlo;  Mixed Poisson, Negative Binomial, Poisson.

North American Actuarial Journal, 9, 90-108.


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