David P.M. Scollnik
Abstract
This paper discusses how the statistical software WinBUGS can be used to implement a Bayesian analysis of
several popular severity models applied to exact size-of-loss data. The
particular models targeted are the gamma, inverse gamma, loggamma,
lognormal, (two-parameter) Pareto, inverse (two-parameter) Pareto, Weibull, and inverse Weibull distributions.
It is possible to implement additional size-of-loss models (including those for
truncated data) using methods analogous to those described herein.
Key words and phrases: Bayesian, severity, Markov chain Monte Carlo, simulation.
Corresponding Author:
David P.M. Scollnik
Department of Mathematics and Statistics
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