Bayesian Methods in Insurance and Actuarial Science

1. Auflage 2018
ISBN: 978-1-4665-1061-6
Verlag: Taylor & Francis

Buch, Englisch, 320 Seiten, Format (B × H): 156 mm x 235 mm

Reihe: Chapman and Hall/CRC Financial Mathematics Series

There has been a rapidly growing interest in Bayesian methods among insurance practitioners in recent years, mainly because of their ability to generate predictive distributions and to rigorously incorporate expert opinion through prior probabilities. This book introduces modern Bayesian modeling techniques for actuarial and insurance applications. It first provides the necessary background in current actuarial practice and then presents Bayesian methods and MCMC. It includes advanced techniques, such as nonlinear modeling, as well as three chapters on model selection and averaging. The text features case studies using real actuarial and insurance data with computations in R and WinBUGS.

Autoren/Hrsg.

Zhang, Yanwei

Dukic, Vanja

Guszcza, James

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

Inhaltsverzeichnis

INTRODUCTION TO CURRENT PRACTICE
Actuarial Background and Introduction to Insurance
Traditional Models for Insurance Reserving and Pricing
Case studies: Generalized Linear Models in Insurance
Hierarchical Linear Models with Insurance Applications
BAYESIAN LINEAR AND GENERALIZED LINEAR MODELS
Introduction to Bayesian Statistics
Inference in Bayesian Linear Models
Introduction to Bayesian Computing: Markov Chain Monte Carlo
Case Studies: Bayesian Generalized Linear Models in Insurance
ADVANCED BAYESIAN METHODS AND CASE STUDIES
Bayesian Semi-parametric Models
Bayesian Non-Linear Models
Bayesian Copula Models
MODEL SELECTION AND AVERAGING
Model Selection Strategies
Bayesian Model Averaging
Case Study: When to Select and When to Average Your Models
Appendix
Appendix W: Introduction to WinBUGS
Appendix R: Introduction to R
Appendix C: Code

Über Autor(innen)

Zhang, Yanwei
Yanwei Zhang is the Director of Statistical Research for CNA Insurance Company in Chicago, USA.

Dukic, Vanja
Vanja Dukic is an Associate Professor of Applied Mathematics at the University of Colorado-Boulder, USA.

Guszcza, James
James Guszcza is an Associate Professor of Actuarial Science, Risk Management, and Insurance at the University of Wisconsin-Madison, USA.

Yanwei Zhang is the Director of Statistical Research for CNA Insurance Company in Chicago, USA. Vanja Dukic is an Associate Professor of Applied Mathematics at the University of Colorado-Boulder, USA. James Guszcza is an Associate Professor of Actuarial Science, Risk Management, and Insurance at the University of Wisconsin-Madison, USA.