Estimate the parameters for severity, frequency, and aggregate distributions using Bayesian Estimation.
Free SOA Exam ASTAM (Advanced Short-Term Actuarial Mathematics) lesson in Construction and Selection of Parametric Models. 10 min read, ~1,466 words.
Posterior ∝ Prior × Likelihood. The denominator is a normalizing constant that makes the posterior integrate to 1. Bayes estimate depends on the loss: squared-error gives the posterior mean, absolute-error gives the posterior median, 0-1 loss gives the posterior mode. Gamma prior + Poisson data gives a Gamma posterior with...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
- 4d
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