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Fitting standard actuarial claims distributions to simulated 12 months of claims frequency data.

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Bayesian Model Averaging

Uniform Poisson Binomial Negative Binomial Beta-Binomial Empirical BMA
# of Parameters 1 1 2 2 2 12 1.4
BIC 67 69 72 68 69 83 66
Weights 41% 16% 4% 25% 14% 0% -

The Bayesian Average Model is a notable improvement over the individual approaches.

Bayesian Average Model

Cross-Validated BMA with 12 folds provides a minor improvement:

BMA Cross-Validated Model

We can visualize the model uncertainty estimated by cross-validation:

Model Uncertainty

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Fitting standard actuarial claims distributions to simulated 12 months of claims frequency data.

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