Garrido, José 
ORCID: https://orcid.org/0000-0002-2016-7524 and Xacur, Oscar Alberto Quijano
(2018)
Bayesian credibility for GLMs.
Insurance: Mathematics and Economics
.
ISSN 01676687
(In Press)
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Official URL: http://dx.doi.org/10.1016/j.insmatheco.2018.05.001
Abstract
We revisit the classical credibility results of Jewell (1974) and Bühlmann (1967) to obtain credibility premiums for a GLM using a modern Bayesian approach. Here the prior distribution can be chosen without restrictions to be conjugate to the response distribution. It can even come from out–of–sample information if the actuary prefers.
Then we use the relative entropy between the “true” and the estimated models as a loss function, without restricting credibility premiums to be linear. A numerical illustration on real data shows the feasibility of the approach, now that computing power is cheap, and simulations software readily available.
| Divisions: | Concordia University > Faculty of Arts and Science > Mathematics and Statistics |
|---|---|
| Item Type: | Article |
| Refereed: | Yes |
| Authors: | Garrido, José and Xacur, Oscar Alberto Quijano |
| Journal or Publication: | Insurance: Mathematics and Economics |
| Date: | 2018 |
| Funders: |
|
| Digital Object Identifier (DOI): | 10.1016/j.insmatheco.2018.05.001 |
| ID Code: | 984212 |
| Deposited By: | ALINE SOREL |
| Deposited On: | 27 Aug 2018 16:36 |
| Last Modified: | 17 May 2020 00:00 |
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