Credibility theory: A new view from the theory of second order optimal statistics.

DOI10.1016/S0167-6687(02)00119-1zbMath1033.62104OpenAlexW1966117334MaRDI QIDQ1413321

Zinoviy Landsman

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00119-1

zbMATH Keywords

Location dispersion classSecond order Bayes estimatorSecond order modified credibility formulaSmall samples

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (7)

A general optimal approach to Bühlmann credibility theory ⋮ Pure robust versus robust portfolio unbiased -- credibility and asymptotic optimality ⋮ A maximum-entropy approach to the linear credibility formula ⋮ A new approach to the credibility formula ⋮ Multivariate Tweedie distributions and some related capital-at-risk analyses ⋮ Tail Conditional Expectations for Elliptical Distributions ⋮ Second-order Bayesian revision of a generalised linear model

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