Implementation of Four Models for Outstanding Liabilities in Winbugs: A Discussion of a Paper by Ntzoufras and Dellaportas |
| |
Authors: | David P. M. Scollnik A.S.A. Ph.D. |
| |
Affiliation: | Department of Mathematics and Statistics , University of Calgary , Calgary , Alberta , Canada, T2N 1N4 |
| |
Abstract: | ![]() Abstract Ntzoufras and Dellaportas (2002) described four models for outstanding claim amounts of the “reported but not settled” variety. Two of the models incorporated claim-counts data in addition to the claim amounts themselves in order to add a hierarchical stage in the usual log-normal and state-space models. The purpose of this discussion is to describe how the models presented in Ntzoufras and Dellaportas may be implemented using WinBUGS. The use of WinBUGS to implement the Bayesian analysis of a number of other actuarial models was considered by Scollnik (2001). |
| |
Keywords: | |
|
|