Scale Mixtures Distributions in Insurance Applications

S.T. Boris Choy () and C.M. Chan

ASTIN Bulletin, 2003, vol. 33, issue 1, 93-104

Abstract: In this paper non-normal distributions via scale mixtures are introduced into insurance applications. The symmetric distributions of interest are the Student-t and exponential power (EP) distributions. A Bayesian approach is adopted with the aid of simulation to obtain posterior summaries. We shall show that the computational burden for the Bayesian calculations is alleviated via the scale mixtures representations. Illustrative examples are given.

Date: 2003
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