Bayesian Analysis of Loss Ratios Using the Reversible Jump Algorithm

Details Bayesian Analysis of Loss Ratios Using the Reversible Jump Algorithm Bayesian Analysis of Loss Ratios Using the Reversible Jump Algorithm

2011-01-06

arxiv.org/abs/1101.1264v1

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In this paper we consider the problem of model choice for a set of insurance
loss ratios. We use a reversible jump algorithm for our model discrimination
and show how the vanilla reversible jump algorithm can be improved on using
recent methodological advances in reversible jump computation.

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