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Exact Credibility for Weighted Observations

Author

Listed:
  • Kaas, Rob
  • Dannenburg, Dennis
  • Goovaerts, Marc

Abstract

This note generalizes Jewell's theorem on exact credibility from the classical Bühlmann model to the (weighted) Bühlmann-Straub model.

Suggested Citation

  • Kaas, Rob & Dannenburg, Dennis & Goovaerts, Marc, 1997. "Exact Credibility for Weighted Observations," ASTIN Bulletin, Cambridge University Press, vol. 27(2), pages 287-295, November.
    • Handle: RePEc:cup:astinb:v:27:y:1997:i:02:p:287-295_01
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    Cited by:

    1. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    2. Landsman, Zinoviy, 2002. "Credibility theory: a new view from the theory of second order optimal statistics," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 351-362, June.
    3. Nicolas Roux & Joel Sobel, 2015. "Group Polarization in a Model of Information Aggregation," American Economic Journal: Microeconomics, American Economic Association, vol. 7(4), pages 202-232, November.
    4. Frees, Edward W. & Young, Virginia R. & Luo, Yu, 1999. "A longitudinal data analysis interpretation of credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 229-247, May.
    5. Antonio, Katrien & Beirlant, Jan, 2007. "Actuarial statistics with generalized linear mixed models," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 58-76, January.

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