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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
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Abstract

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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

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