IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v37y2007i02p405-428_01.html
   My bibliography  Save this article

On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation

Author

Listed:
  • Vilar-Zanón, José L.
  • Lozano-Colomer, Cristina

Abstract

This paper addresses the Bayesian estimation of the shape parameter of Pareto distributions, and its application to premium calculation of large claims excess of loss (XL) reinsurance contracts. It studies the use of the generalized inverse Gaussian (GIG) as a Pareto prior conjugate, a family that contains as a particular case the gamma distribution. An exact credibility formula is deduced allowing the calculation of individual reinsurance premiums. These are premiums suited to the excesses history of a sole portfolio. A family of predictive distributions for the excesses is derived. We apply our exact credibility model to a sample of excesses arisen in ten Spanish portfolios of liability motor insurance from year 1992 to year 2001.

Suggested Citation

  • Vilar-Zanón, José L. & Lozano-Colomer, Cristina, 2007. "On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation," ASTIN Bulletin, Cambridge University Press, vol. 37(2), pages 405-428, November.
    • Handle: RePEc:cup:astinb:v:37:y:2007:i:02:p:405-428_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100014938/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:37:y:2007:i:02:p:405-428_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.