Sequential Quasi-Credibility for Scale Dispersion Models

Zinoviy Landsman and Udi Makov

Scandinavian Actuarial Journal, 2003, vol. 2003, issue 2, 119-135

Abstract: The sequential approach to credibility, developed by Landsman and Makov [(1999a) On stochastic approximation and credibility. Scand. Actuarial J.1, 15-31; (1999b) Sequential credibility evaluation for symmetric location claim distributions. Insurance: Math. Econ.24, 291-300] is extended to the scale dispersion family, which contains distributions often used in actuarial science: log-normal, Weibull, Half normal, Stable, Pareto, to mention only a few. For members of this family a sequential quasi-credibility formula is devised, which can also be used for heavy tailed claims. The results are illustrated by a study of log-normal claims.

Date: 2003
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DOI: 10.1080/03461230110106363

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