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Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138721
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 mod ... More
Reviewed: Reviewed
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136088
Description: In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Markov chain model for credit rating. A transition matrix is estimated by a linear combination of the ... More
Reviewed: Reviewed
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