On credibility evaluation and the tail area of the exponential dispersion family

DOI10.1016/S0167-6687(00)00053-6zbMath0971.62064OpenAlexW1972954292MaRDI QIDQ5938031

Zinoviy Landsman, Udi E. Makov

Publication date: 4 October 2001

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(00)00053-6

zbMATH Keywords

tail probabilitycredibility formulaexponential dispersion familyfair premiumoptimal credibility factor

Mathematics Subject Classification ID

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

Related Items (5)

Credit portfolios, credibility theory, and dynamic empirical Bayes ⋮ Contaminated Exponential Dispersion Loss Models ⋮ Principal Applications of Bayesian Methods in Actuarial Science ⋮ Evolutionary Credibility Theory ⋮ A generalization of the credibility theory obtained by using the weighted balanced loss function

Cites Work

• Conjugate priors for exponential families
• Sample quantiles and additive statistics: Information, sufficiency, estimation
• Exponential Dispersion Models and Extensions: A Review
• Exponential dispersion models and credibility
• On implications of credible means being exact bayesian
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