Thomas N. Herzog

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We discuss the application of the Bayesian statistical paradigm in conjunction with Monte Carlo methods to practical problems. We begin by describing the basic constructs of the Bayesian paradigm. We then discuss two applications. The first entails the simulation of a two-stage model of a property-casualty insurance operation. The second application(More)
We fit a linear mixed model and a Bayesian hierarchical model to data provided by an insurance company located in the Midwest. We used models fit to the 1994 data to predict health insurance claims costs for 1995. We implemented the linear mixed model in SAS and used two different prediction methods to predict 1995 costs. In the linear mixed model we(More)
We discuss the application of the Bayesian statistical paradigm in conjunction with Monte Carlo methods to practical problems. We begin by describing the basic constructs of the Bayesian paradigm. We then discuss two applications. The first entails the simulation of a two-stage model of a property-casualty insurance operation. The second application(More)
Applications of capture-recapture procedures go back to at least 1896, to the work of Petersen [1896], who was interested in the size of fish populations. Another early paper by Lincoln [1930] was concerned with waterfowl. The method gets its name from such applications concerned with estimating the number of fish in a pond, or more generally, estimating(More)
We describe a number of applications of simulation methods to practical problems in finance and insurance. The first entails the simulation of a two-stage model of a property-casualty insurance operation. The second application simulates the operation of an insurance regime for home equity conversion mortgages (also known as reverse mortgages). The third is(More)
In Volume Two of The Art of Computer Pro r ~ [I]~ Donald Knuth compares three methods for generating pseudorandom normal deviates. One method, which Knuth attributes to Marsaglia, is said to be considerably faster than the others. In fact, Knuth regards its relative speed sufficient to compensate for its larger memory requirement. We will show that this(More)