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Business Administration, Management, and Operations

2002

Bayesian

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Modeling Size-Of-Loss Distributions For Exact Data In Winbugs, David P.M. Scollnik Jan 2002

Modeling Size-Of-Loss Distributions For Exact Data In Winbugs, David P.M. Scollnik

Journal of Actuarial Practice (1993-2006)

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.