Simulation of Compound Hierarchical Models in R |
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Authors: | Vincent Goulet PhD Louis-Philippe Pouliot |
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Affiliation: | 1. école d’actuariat , Université Laval. , Pavillon Alexandre-Vachon 1045, avenue de la Médecine, Local 1620, Québec (QC) G1V 0A6, Canada;2. Industrielle Alliance , Assurance et services financiers 1080, Grande-Allée Ouest Case Postale 1907, Succ. Terminus Québec (QC) G1K 7M3 |
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Abstract: | Abstract Hierarchical probability models are widely used in insurance applications for data classified in a tree-like structure and in Bayesian inference. We propose an R function to simulate data from compound models in which both the frequency component and the severity component can have a hierarchical structure. The model description method is based solely on R expressions, and it allows for models with any number of levels and nodes per level, as well as with very general conditional probability structures. The function is part of the R package actuar. |
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