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

DOI10.1002/ASMB.2227zbMATH Open1420.91137arXiv1607.04796OpenAlexW2963901594MaRDI QIDQ4620196FDOQ4620196

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)

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).

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

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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)

Cited In (5)

• Loss-based approach to two-piece location-scale distributions with applications to dependent data
• Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models?
• 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
• Robust statistical modeling using the Birnbaum‐Saunders‐t distribution applied to insurance

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