Simulation of Compound Hierarchical Models in R

Vincent Goulet and Louis-Philippe Pouliot

North American Actuarial Journal, 2008, vol. 12, issue 4, 401-412

Abstract: Hierarchical probability models are widely used in insurance applications for data classified in a tree-like structure and in Bayesian inference. We propose an R function to simulate data from compound models in which both the frequency component and the severity component can have a hierarchical structure. The model description method is based solely on R expressions, and it allows for models with any number of levels and nodes per level, as well as with very general conditional probability structures. The function is part of the R package actuar.

Date: 2008
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DOI: 10.1080/10920277.2008.10597532

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