Scale Mixtures Distributions in Insurance Applications

DOI10.2143/AST.33.1.1041MaRDI QIDQ4661675zbMATH OpenFDO

Authors S. T. Boris Choy, C. M. Chan

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/AST.33.1.1041

zbMATH Keywords

credibilityexponential power distributionGibbs samplerMarkov chain Monte Carlonormal distributionoutleirspure premiumrobustnessscale mixtures of normal distributionsscale mixtures of uniform distributionsStudent-\(t\) distribution

Mathematics Subject Classification ID

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

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Cites work

• Hierarchical models with scale mixtures of normal distributions
• scientific article; zbMATH DE number 107531 (Why is no real title available?)
• scientific article; zbMATH DE number 627764 (Why is no real title available?)
• Markov chains for exploring posterior distributions. (With discussion)
• Robust Bayesian Credibility Using Semiparametric Models

Cited in

(12)

• Robust linear mixed models for small area estimation
• Predictive stop-loss premiums and Student's t-distribution
• A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications
• On \(p\)-generalized elliptical random processes
• Gamma mixture density networks and their application to modelling insurance claim amounts
• Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions
• Limit distributions for doubly stochastically rarefied renewal processes and their properties
• Fitting insurance and economic data with outliers: a flexible approach based on finite mixtures of contaminated gamma distributions
• A new look at the inverse Gaussian distribution with applications to insurance and economic data
• Robust Bayesian analysis of loss reserving data using scale mixtures distributions
• Slash distributions, generalized convolutions, and extremes
• Copula based Bayesian data analysis of loss reserving

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