A0961
Title: Tractable Poisson time-series models for experience rating
Authors: Jae Youn Ahn - Ewha Womans University (Korea, South) [presenting]
Abstract: A new time series model for count data based on the observation-driven state space model is proposed. The proposed model has the advantage of being able to perform simple predictive mean and closed-form expression for the likelihood function and that the stationarity of the variance is guaranteed, whereas the existing observation-driven Bayesian state-space model does. Simulation study and real data analysis are accompanied to show the effectiveness of the proposed method.
