Scollnik, D.P.M. , On the Analysis of the Truncated Generalized Poisson Distribution Using a Bayesian Method .

Abstract: A 2-parameter generalized Poisson distribution introduced by Consul and Jain (1973) has recently found several instances of application in the actuarial literature. The most frequently cited version of the distribution assumes analytical results that are not always satisfied. In these cases, even the definition of the probability mass function usually given in the literature is not properly normalized so that its values do not sum to unity. For this reason, it is common to truncate the support of the distribution and explicitly normalize the probability mass function. In this paper we discuss the estimation of the parameters of this truncated generalized Poisson distribution using a Bayesian method.

Keywords: Bayesian; bivariate; generalized Poisson; Lagrangian Poisson; truncated; Markov chain Monte Carlo.

Notes: This paper has appeared in ASTIN Bulletin, 1998 .