A Survey of Approaches to a Changepoint Problem in an Actuarial Context

By Avraham Adler

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A representative data set is used to provide an example comparing classical and Bayesian approaches to making inferences about the point in a sequence of random variables at which the underlying distribution may shift. Inferences about the underlying distributions themselves are also made. Most of the underlying ‘R’ code used in the analysis is shown in the appendix.

Keywords: Changepoints, Bayesian inference, hierarchical Bayes models, Markov chain Monte Carlo,JAGS,R, sensitivity testing


Adler, Avraham, "A Survey of Approaches to a Changepoint Problem in an Actuarial Context," Variance 9:1, 2015, pp. 64-100.

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Variance (ISSN 1940-6452) is a peer-reviewed journal published by the Casualty Actuarial Society to disseminate work of interest to casualty actuaries worldwide. The focus of Variance is original practical and theoretical research in casualty actuarial science. Significant survey or similar articles are also considered for publication. Membership in the Casualty Actuarial Society is not a prerequisite for submitting papers to the journal and submissions by non-CAS members is encouraged.