Bayesian models in actuarial mathematics

DOI10.1007/S001860050016MaRDI QIDQ1298739zbMATH OpenOpenAlexFDO

Authors Klaus D. Schmidt

Publication date 18 October 2000

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860050016

zbMATH Keywords

actuarial mathematicsaggregate claims processesBayesian modelschain ladder methodclaim number processescredibility theoryexperience ratingexperience reservingrisk processessaddlepostochastic processes

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

The paper provides a unifying survey of Bayesian models in different areas of actuarial mathematics. Bayesian models are discussed with regard to claim number processes, experience rating, and experience reserving. The asymptotic properties of the Bayes and credibility premiums and their losses are studied. The problem of finding a minimax decision when a least favourable probability measure does not exist or cannot be found is considered. Most models are parametric, but experience rating is also considered in the case of vague prior information. A recent nonparametric model of experience reserving which provides a partial justification of the chain ladder method is presented.

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