Robust Bayesian Credibility Using Semiparametric Models

DOI10.2143/AST.28.2.519065MaRDI QIDQ3632878zbMATH OpenFDO

Authors Virginia R. Young

Publication date 15 June 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 48344 (Why is no real title available?)
• scientific article; zbMATH DE number 1095135 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Allocations of probability
• An overview of robust Bayesian analysis. (With discussion)
• Approximation Theorems of Mathematical Statistics
• Belief functions and statistical inference
• Non-additive measure and integral
• Prior envelopes based on belief functions
• Upper and Lower Probabilities Induced by a Multivalued Mapping

Cited in

(15)

• Bounds for Ratios of Posterior Expectations: Applications in the Collective Risk Model
• Robust Bayesian methodology with applications in credibility premium derivation and future claim size prediction
• Bayesian prediction with an asymmetric criterion in a nonparametric model of insurance risk
• Scale Mixtures Distributions in Insurance Applications
• On Bayesian Mixture Credibility
• Bayesian analysis of insurance losses using the Bühlmann-Straub credibility model
• Credibility using semiparametric models and a loss function with a constancy penalty
• Testing for random effects in compound risk models via Bregman divergence
• Families of update rules for non-additive measures: applications in pricing risks.
• Assessing Bayesian Semi‐Parametric Log‐Linear Models: An Application to Disclosure Risk Estimation
• Deriving robust Bayesian premiums under bands of prior distributions with applications
• Robust and efficient methods for credibility when claims are approximately gamma-distributed
• A review of Bayesian asymptotics in general insurance applications
• Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
• Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors

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