Description: This paper presents a unifying non-Bayesian statistical method for incorporating prior information into the determination of probability distributions and other finite measures and develops the statistical properties of this method together with actuarial applications. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper gives a brief review of advanced time series models, the state space model, using Monte Carlo techniques and subsequently illustrates their usefulness to practicing actuaries. The models employed allow for the possibilities of nonnormal errors and nonlinear functionals in the state equation, the observational equation or both. The approach is illustrated with several examples and data compiled by the National Center for Health Statistics.