Objective Bayesian modelling of insurance risks with the skewed Student-t distribution

DOI10.1002/ASMB.2227MaRDI QIDQ4620196zbMATHOpenAlexFDO

Authors Fabrizio Leisen, Cristiano Villa, J. M. Marín

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.04796

zbMATH Keywords

objective Bayesinsurance lossesskewed Student-\(t\) distribution

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: Insurance risks data typically exhibit skewed behaviour. In this paper, we propose a Bayesian approach to capture the main features of these datasets. This work extends the methodology introduced in Villa and Walker (2014a) by considering an extra parameter which captures the skewness of the data. In particular, a skewed Student-t distribution is considered. Two datasets are analysed: the Danish fire losses and the US indemnity loss. The analysis is carried with an objective Bayesian approach. For the discrete parameter representing the number of the degrees of freedom, we adopt a novel prior recently introduced in Villa and Walker (2014b).

Recommendations

• Skew mixture models for loss distributions: a Bayesian approach
• On Bayesian Modeling of Fat Tails and Skewness
• Objective Bayesian analysis for the multivariate skew-\(t\) model
• Objective Bayesian analysis of skew-\(t\) distributions
• Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?

Cited in

(5)

• Objective priors for the number of degrees of freedom of a multivariate \(t\) distribution and the \(t\)-copula
• Skew mixture models for loss distributions: a Bayesian approach
• Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
• Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance
• Loss-based approach to two-piece location-scale distributions with applications to dependent data

This page was built for publication: Objective Bayesian modelling of insurance risks with the skewed Student-\(t\) distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4620196)