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On the Estimation of the Credibility Factor: A Bayesian Approach

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  • Schnieper, René

Abstract

In practical applications of Credibility Theory the structure parameters usually have to be estimated from the data. This leads to an estimator of the a posteriori mean which is often biased and where the credibility factor depends on the data. A more coherent approach to the problem would be to also treat the unknown parameters as random variables and to simultaneously estimate the a posteriori mean and the structure parameters. Different statistical models are proposed which allow for such a solution. These models all lead to an estimation of the posterior mean which is a weighted average of the prior mean and of the observed mean, the weights depending on the observations.

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  • Schnieper, René, 1995. "On the Estimation of the Credibility Factor: A Bayesian Approach," ASTIN Bulletin, Cambridge University Press, vol. 25(2), pages 137-151, November.
    • Handle: RePEc:cup:astinb:v:25:y:1995:i:02:p:137-151_00
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    1. Casey Zuzak & Matthew Mowrer & Emily Goodenough & Jordan Burns & Nicholas Ranalli & Jesse Rozelle, 2022. "The national risk index: establishing a nationwide baseline for natural hazard risk in the US," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 114(2), pages 2331-2355, November.

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