Bayesian Analysis of Loss Ratios Using the Reversible Jump Algorithm

Garfield Brown,Steve Brooks

arXiv · Applications（2011）

Statistical Laboratory

被引用23|浏览13

摘要

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.

更多

查看译文

关键词

Volatility Modeling,Model Selection,Statistical Modeling