Bayesian Inference in Credibility Theory

L. D'Hooge and Marc Goovaerts

ASTIN Bulletin, 1975, vol. 8, issue 2, 164-174

Abstract: In 1967, Bühlmann has shown that the credibility formula was the best linearized approximation to the exact Bayesian forecast. His result for the credibility factor can be found back by means of some Bayesian inference techniques. Introducing a uniform prior probability density function for the credibility factor provides us with a method for estimating z, a correction term to the Bühlmann's result is obtained. It is shown how prior boundary conditions can be introduced.

Date: 1975
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