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Implementation of Four Models for Outstanding Liabilities in Winbugs: A Discussion of a Paper by Ntzoufras and Dellaportas

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  • David Scollnik

Abstract

Ntzoufras and Dellaportas (2002) described four models for outstanding claim amounts of the “reported but not settled” variety. Two of the models incorporated claim-counts data in addition to the claim amounts themselves in order to add a hierarchical stage in the usual log-normal and state-space models. The purpose of this discussion is to describe how the models presented in Ntzoufras and Dellaportas may be implemented using WinBUGS. The use of WinBUGS to implement the Bayesian analysis of a number of other actuarial models was considered by Scollnik (2001).

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  • David Scollnik, 2002. "Implementation of Four Models for Outstanding Liabilities in Winbugs: A Discussion of a Paper by Ntzoufras and Dellaportas," North American Actuarial Journal, Taylor & Francis Journals, vol. 6(1), pages 128-136.
    • Handle: RePEc:taf:uaajxx:v:6:y:2002:i:1:p:128-136
    DOI: 10.1080/10920277.2002.10596033
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    Cited by:

    1. Koissi, Marie-Claire & Shapiro, Arnold F., 2006. "Fuzzy formulation of the Lee-Carter model for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 287-309, December.

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