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Automated Graduation using Bayesian Trans-dimensional Models

Verrall, R. J. and Haberman, S. (2011). Automated Graduation using Bayesian Trans-dimensional Models. Annals of Actuarial Science, 5(2), pp. 231-251. doi: 10.1017/S1748499511000248

Abstract

This paper presents a new method of graduation which uses parametric formulae together with Bayesian reversible jump Markov chain Monte Carlo methods. The aim is to provide a method which can be applied to a wide range of data, and which does not require a lot of adjustment or modification. The method also does not require one particular parametric formula to be selected: instead, the graduated values are a weighted average of the values from a range of formulae. In this way, the new method can be seen as an automatic graduation method which we believe that in many cases can be applied without any adjustments and provide satisfactory graduated values.

Publication Type: Article
Additional Information: Copyright Cambridge journals 2011.
Publisher Keywords: Bayesian methods, graduation, mortality
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/3806
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