A Survey of Approaches to a Changepoint Problem in an Actuarial Context

Abstract

A representative data set is used to provide an example comparing classical and Bayesian approaches to making inferences about the point in a sequence of random variables at which the underlying distribution may shift. Inferences about the underlying distributions themselves are also made. Most of the underlying ‘R’ code used in the analysis is shown in the appendix.

 

Volume
9
Issue
1
Page
64-100
Year
2015
Keywords
Changepoints, Bayesian inference, hierarchical Bayes models, Markov chain Monte Carlo,JAGS,R, sensitivity testing, predictive analytics
Categories
Financial and Statistical Methods
Statistical Models and Methods
Bayesian Methods
Actuarial Applications and Methodologies
Ratemaking
Loss-Sensitive Features
Financial and Statistical Methods
Simulation
Monte Carlo Valuation
Publications
Variance
Authors
Avraham Adler