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Bayesian models in actuarial mathematics

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  • Klaus D. Schmidt

Abstract

The present paper provides a unifying survey of Bayesian models in different areas of actuarial mathematics. Bayesian models are discussed with regard to claim number processes, experience rating, and experience reserving. Most models are parametric, but experience rating is also considered in the case of vague prior information and an empirical Bayesian model of experience reserving is studied as well. Copyright Springer-Verlag Berlin Heidelberg 1998

Suggested Citation

  • Klaus D. Schmidt, 1998. "Bayesian models in actuarial mathematics," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 48(1), pages 117-146, September.
    • Handle: RePEc:spr:mathme:v:48:y:1998:i:1:p:117-146
    DOI: 10.1007/s001860050016
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    Citations

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    Cited by:

    1. Klaus Schmidt, 2012. "Loss prediction based on run-off triangles," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 265-310, June.
    2. A.Hernández-Bastida & J. M. Pérez–Sánchez & E. Gómez-Deniz, 2007. "Bayesian Analysis Of The Compound Collective Model: The Net Premium Principle With Exponential Poisson And Gamma–Gamma Distributions," FEG Working Paper Series 07/03, Faculty of Economics and Business (University of Granada).

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