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Simulation of compound hierarchical models in R. (English) Zbl 1481.91170

Summary: 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’.

MSC:

91G05 Actuarial mathematics
91-04 Software, source code, etc. for problems pertaining to game theory, economics, and finance
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