JSM 2003 Online Program

Abstract #301705

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Activity Number:	254
Type:	Contributed
Date/Time:	Tuesday, August 5, 2003 : 12:00 PM to 1:50 PM
Sponsor:	Section on Bayesian Stat. Sciences
Abstract - #301705
Title:	Bayesian Method Applied to Loss Models
Author(s):	Suzanne Grimes*+ and Ferry Butar Butar
Companies:	Sam Houston State University and Sam Houston State University
Address:	2203 Louetta, Spring, TX, 77388-4706,
Keywords:	MLE ; Monte Carlo ; future losses ; severity
Abstract:	In actuarial science it is common practice to employ techniques based on classical statistics to estimate unknown parameters. Once the parameters are estimated, an actuarial loss model can be determined and used to predict future losses. A Bayesian approach can also be employed to determine actuarial loss models. We investigate parameter estimation in heavy-tail distributions using both methods. After a brief characterization of each method and calculation of the measure of uncertainty, a comparison of the two methods will be given using an actual data set.

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