Bayesian credibility for GLMs

Oscar Alberto Quijano Xacur and José Garrido

Insurance: Mathematics and Economics, 2018, vol. 83, issue C, 180-189

Abstract: We revisit the classical credibility results of Jewell (1974) and Bühlmann (1967) to obtain credibility premiums for a GLM using a modern Bayesian approach. Here the prior distribution can be chosen without restrictions to be conjugate to the response distribution. It can even come from out-of-sample information if the actuary prefers.

Keywords: Credibility theory; GLMs; Bayesian statistics; Relative entropy; MCMC (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:83:y:2018:i:c:p:180-189

DOI: 10.1016/j.insmatheco.2018.05.001

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