Date of this Version
Journal of Actuarial Practice 10 (2002), pp. 193-218
This paper discusses how the statistical software WinBUGS can be used to implement a Bayesian analysis of several popular severity models applied to exact size-of-Ioss data. The particular models targeted are the gamma, inverse gamma, loggamma, lognormal, (two-parameter) Pareto, inverse (two-parameter) Pareto, Weibull, and inverse Weibull distributions. It is possible to implement additional size-of-Ioss models (including those for truncated data) using methods analogous to those described herein.
Accounting Commons, Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons, Insurance Commons, Management Sciences and Quantitative Methods Commons