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Convergence of Bayes and Credibility Premiums

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  • Schmidt, Klaus D.

Abstract

For a risk whose annual claim amounts are conditionally i.i.d. with respect to a risk parameter, it is known that the Bayes and credibility premiums are asymptotically optimal in terms of losses. In the present note it is shown that the Bayes and credibility premiums actually converge to the individual premium.

Suggested Citation

  • Schmidt, Klaus D., 1990. "Convergence of Bayes and Credibility Premiums," ASTIN Bulletin, Cambridge University Press, vol. 20(2), pages 167-172, November.
    • Handle: RePEc:cup:astinb:v:20:y:1990:i:02:p:167-172_00
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    Cited by:

    1. Schmidt Klaus D., 2000. "Statistical Decision Problems And Linear Prediction Under Vague Prior Information," Statistics & Risk Modeling, De Gruyter, vol. 18(4), pages 429-442, April.
    2. Kim, Joseph H.T. & Jeon, Yongho, 2013. "Credibility theory based on trimming," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 36-47.
    3. Pitselis, Georgios, 2013. "Pure robust versus robust portfolio unbiased—Credibility and asymptotic optimality," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 391-403.
    4. Canan Hamurkaroğlu & Sümeyra Sezer Kaplan, 2024. "Actuarial premium calculation for beekeeping insurance in Turkiye," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(3), pages 448-473, July.

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