Bayesian Analysis of Loss Ratios Using the Reversible Jump Algorithm

2011/01/06 by Garfield Brown, Brown, Garfield, Steve Brooks +1
Computer Science · Mathematics · #Applications (stat.AP) #Bayesian Methods and Mixture Models #Computation (stat.CO) #FOS: Computer and information sciences #Markov Chains and Monte Carlo Methods #Probability and Statistical Research #stat.AP #stat.CO

paper · pdf · doi:10.48550/arxiv.1101.1264

arxiv created 2011/01/06 · openalex publication_date 2011/01/06 · arxiv updated 2015/03/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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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