CAS Exam MAS-II Fall 2019, Question 37
Study guide: Exam MAS-II
An actuary is comparing the predictions from two different Bayesian models, q and r. Model q has 4 effective parameters and model r has 5 effective parameters. Below are the posterior likelihoods from the two models:
| Posterior Prediction | Posterior Likelihood from q |
Posterior Likelihood from r |
|---|---|---|
| 1 | 100 | 100 |
| 2 | 150 | 175 |
| 3 | 175 | 200 |
| 4 | 125 | 125 |
The actuary decides to calculate Deviance and AIC and uses the most appropriate measure to identify the better model considering the effect of overfitting.
Identify which of the following statements is correct.
- A) Model
qhas a better AIC, so it is a better model - B) Model
rhas a better Deviance, so it is a better model - C) Model
qhas a better AIC and Deviance, so it is a better model - D) Model
rhas a better AIC and Deviance, so it is a better model - E) Neither Deviance nor AIC measures overfitting, so the analysis is not conclusive
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