Exchangeable Claims Sizes in a Compound Poisson Type Proces
AbstractWhen dealing with risk models the typical assumption of independence among claim size distributions is not always satisfied. Here we consider the case when the claim sizes are exchangeable and study the implications when constructing aggregated claims through compound Poisson type processes. In par- ticular, exchangeability is achieved through conditional independence and using parametric and nonparametric measures for the conditioning distribution. A full Bayesian analysis of the proposed model is carried out to illustrate.
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Bibliographic InfoPaper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 19-2007.
Length: 21 pages
Date of creation: Mar 2007
Date of revision:
Bayes nonparametrics; compound Poisson process; exchangeable claim process; exchangeable sequence; risk model.;
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- Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 133-149, May.
- Gerber, Hans U., 1982. "Ruin theory in the linear model," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 213-217, July.
- Ramsés H. Mena & Stephen G. Walker, 2005. "Stationary Autoregressive Models via a Bayesian Nonparametric Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 789-805, November.
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