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Bayesian Inference in Credibility Theory

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  • D'Hooge, L.
  • Goovaerts, M. J.

Abstract

In 1967, Bühlmann has shown that the credibility formula was the best linearized approximation to the exact Bayesian forecast. His result for the credibility factor can be found back by means of some Bayesian inference techniques. Introducing a uniform prior probability density function for the credibility factor provides us with a method for estimating z, a correction term to the Bühlmann's result is obtained. It is shown how prior boundary conditions can be introduced.

Suggested Citation

  • D'Hooge, L. & Goovaerts, M. J., 1975. "Bayesian Inference in Credibility Theory," ASTIN Bulletin, Cambridge University Press, vol. 8(2), pages 164-174, September.
    • Handle: RePEc:cup:astinb:v:8:y:1975:i:02:p:164-174_00
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