Hostname: page-component-7b7567c8c-wxvwp Total loading time: 0 Render date: 2026-11-13T22:36:34.144Z Has data issue: false hasContentIssue false
  • English
  • Français

Robust Bayesian Experience Rating

Published online by Cambridge University Press:  17 April 2015

René Schnieper
René Schnieper*
Affiliation:
Converium, General Guisan Quai 26, CH-8022 Zurich, Switzerland, E-mail: rene.schnieper@converium.com
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the 'Save PDF' action button.

Different rating methods which allow for exceptional large claims are discussed. A robust Bayesian statistical model is proposed which can cope with non negative, skewed data. An example from fire insurance is analyzed. The performance of the posterior mean is compared to the performance of a robust credibility estimator.

Keywords

Experience ratingBayesian statisticsrobust Bayesian statisticscredibilityrobust credibilityMarkov Chain Monte Carlo

Information

Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 1 , May 2004, pp. 125 - 150
Copyright
Copyright © ASTIN Bulletin 2004

References

Aitchison, J. and Dunsmore, I.R. (1975) Statistical Prediction Analysis, Cambridge University Press.Google Scholar
Berger, J. (1993) An Overview of Robust Bayesian Analysis. Technical Report, Department of Statistics, Purdue University.Google Scholar
Bühlmann, H. and Straub, E. (1970) Glaubwürdigkeit für Schadensätze, Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, 70(1), 1970.Google Scholar
Bühlmann, H., Gisler, A., Jewell, W.S. (1982), Excess Claims and Data Trimming in the Context of Credibility Rating Procedures, Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, 1, 1982.Google Scholar
Gilks, W.R., Richardson, S. and Spiegelhalter, D.J. (1996) Markov Chain Monte Carlo in Practice, Chapman and Hall, 1996.Google Scholar
Gisler, A. (1980) Optimum Trimming of Data in the Credibility Model, Mitteilungen der Schweiz. Vereinigung der Versicherungsmathematiker, 3, 1980.Google Scholar
Gisler, A. and Reinhard, P. (1993) Robust Credibility, ASTIN Bulletin, 23(1).CrossRefGoogle Scholar
Jewell, W.S. (1974) Credible Means are Exact Bayesian for Exponential Families, ASTIN Bulletin, Vol. VIII.Google Scholar
Künsch, H.R. (1992) Robust Methods for Credibility, ASTIN Bulletin, 22(1).CrossRefGoogle Scholar
O’Hagan, A. (1994) Kendalls Advanced Theory of Statistics, Vol. 2B, Bayesian Inference.Google Scholar
Schnieper, R. (1993) Praktische Erfahrungen mit Grossschadenverteilungen, Mitteilungen der Schweiz. Vereinigung der Versicherungsmathematiker, Heft 2, 1993.Google Scholar