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On Bayesian mixture credibility

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/138721

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Title: On Bayesian mixture credibility
Related: ASTIN bulletin, Vol. 36, Issue 2, (2006), p.573-588
DOI: 10.2143/AST.36.2.2017934
Publisher: Peeters Publishers
Date: 2006
FoR/RFCD Code(s): 010200 Applied Mathematics 150200 Banking, Finance and Investment
Author/Creator: Lau, John W
Author/Creator: Siu, Tak Kuen
Author/Creator: Yang, Hailiang
Description: We introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture models provide us with much flexibility in the specification of the claim distribution.We employ the sampling scheme based on a weighted Chinese restaurant process introduced in Lo et al. (1996) to estimate a Bayesian infinite mixture model from the claim data. The Bayesian sampling scheme also provides a systematic way to cluster the claim data. This can provide some insights into the risk characteristics of the policyholders. The estimated credibility premium from the Bayesian infinite mixture model can be written as a linear combination of the prior estimate and the sample mean of the claim data. Estimation results for the Bayesian mixture credibility premiums will be presented.
Description: 16 page(s)
Subject Keyword: 010200 Applied Mathematics
Subject Keyword: 150200 Banking, Finance and Investment
Subject Keyword: credibility theory
Subject Keyword: Bayesian mixture models
Subject Keyword: infinite mixture
Subject Keyword: risk characteristics
Subject Keyword: clustering
Subject Keyword: weighted chinese restaurant process
Subject Keyword: credibility premium principle
Subject Keyword: dirichlet process
Resource Type: journal article
Organisation: Macquarie University. Dept. of Actuarial Studies

Identifier: http://hdl.handle.net/1959.14/138721
Identifier: ISSN:1783-1350
Identifier: mq-rm-2009000359
Language: eng
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