Convergence of Bayes and Credibility Premiums

Klaus D. Schmidt

ASTIN Bulletin, 1990, vol. 20, issue 2, 167-172

Abstract: For a risk whose annual claim amounts are conditionally i.i.d. with respect to a risk parameter, it is known that the Bayes and credibility premiums are asymptotically optimal in terms of losses. In the present note it is shown that the Bayes and credibility premiums actually converge to the individual premium.

Date: 1990
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