4 papers
Bayesian Analysis of Loss Ratios Using the Reversible Jump Algorithm
Garfield Brown, Steve Brooks
In this paper we consider the problem of model choice for a set of insurance loss ratios. We use a reversible jump algorithm for our model discrimination and show how the vanilla r…
A Mispricing Model of Stocks Under Asymmetric Information
Winston Buckley, Garfield Brown, Mario Marshall
We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a…
Experience Rating with Poisson Mixtures
Garfield Brown, Steve Brooks, Winston Buckley
We present a mixture Poisson model for claims counts in which the number of components in the mixture are estimated by reversible jump MCMC methods.
Discrimination for Two Way Models with Insurance Application
Garfield Brown, Winston Buckley
In this paper, we review and apply several approaches to model selection for analysis of variance models which are used in a credibility and insurance context. The reversible jump…