کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076983 1374111 2010 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A new approach to the credibility formula
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A new approach to the credibility formula
چکیده انگلیسی
The usual credibility formula holds whenever, (i) claim size distribution is a member of the exponential family of distributions, (ii) prior distribution conjugates with claim size distribution, and (iii) square error loss has been considered. As long as, one of these conditions is violent, the usual credibility formula no longer holds. This article, using the mean square error minimization technique, develops a simple and practical approach to the credibility theory. Namely, we approximate the Bayes estimator with respect to a general loss function and general prior distribution by a convex combination of the observation mean and mean of prior, say, approximate credibility formula. Adjustment of the approximate credibility for several situations and its form for several important losses are given.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 2, April 2010, Pages 334-338
نویسندگان
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