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Exchangeable Claims Sizes in a Compound Poisson Type Proces


  • Ramsés H. Mena


  • Luis E. Nieto-Barajas


When 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.

Suggested Citation

  • Ramsés H. Mena & Luis E. Nieto-Barajas, 2007. "Exchangeable Claims Sizes in a Compound Poisson Type Proces," ICER Working Papers - Applied Mathematics Series 19-2007, ICER - International Centre for Economic Research.
  • Handle: RePEc:icr:wpmath:19-2007

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    References listed on IDEAS

    1. 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.
    2. Gerber, Hans U., 1982. "Ruin theory in the linear model," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 213-217, July.
    3. Daboni, Luciano, 1974. "Some Models of Inference in the Risk Theory from a Bayesian Viewpoint," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 8(01), pages 38-56, September.
    4. 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.
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