On asymptotic optimality in empirical Bayes credibility.

DOI10.1016/S0167-6687(02)00156-7zbMath1074.62529OpenAlexW2047568339MaRDI QIDQ1413358

Mostafa Mashayekhi

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)00156-7

zbMATH Keywords

CredibilityBühlmann-Straub modelAsymptotically optimalFinite population meansLinear empirical Bayes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (5)

Frequency-severity experience rating based on latent Markovian risk profiles ⋮ Optimal credibility estimation of random parameters in hierarchical random effect linear model ⋮ Pure robust versus robust portfolio unbiased -- credibility and asymptotic optimality ⋮ Credibility Estimation of Distribution Functions with Applications to Experience Rating in General Insurance ⋮ Unnamed Item

Cites Work

• Some thoughts on empirical Bayes estimation
• Parameter estimation in some credibility models
• Empirical Bayes credibility
• Rates of risk convergence of empirical linear Bayes estimators
• Empirical Bayes Estimation in Finite Population Sampling
• The Empirical Bayes Approach to Statistical Decision Problems
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