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North American Actuarial Journal Volume 5, 2001 - Issue 2
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Original Articles

Actuarial Modeling with MCMC and BUGs

David P. M. Scollnik A.S.A., Ph.D. Department of Mathematics and Statistics, University of Calgary, Calgary, Alberta, Canada, T2N 1N4
Pages 96-124 | Published online: 04 Jan 2013
 
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Abstract

In this paper, the author reviews some aspects of Bayesian data analysis and discusses how a variety of actuarial models can be implemented and analyzed in accordance with the Bayesian paradigm using Markov chain Monte Carlo techniques via the BUGS (Bayesian inference Using Gibbs Sampling) suite of software packages. The emphasis is placed on actuarial loss models, but other applications are referenced, and directions are given for obtaining documentation for additional worked examples on the World Wide Web.

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