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Scale Mixtures Distributions in Insurance Applications

Published online by Cambridge University Press:  17 April 2015

S.T. Boris Choy  and
C.M. Chan
S.T. Boris Choy
Affiliation:
Department of Statistics and Actuarial Science, University of Hong Kong, Pokfulam Road, Hong Kong. Email: bchoy@hkustasc.hku.hk
C.M. Chan
Affiliation:
Department of Statistics, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong. Email: cm_chan@sparc20c.sta.cuhk.edu.hk
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Abstract

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In this paper non-normal distributions via scale mixtures are introduced into insurance applications. The symmetric distributions of interest are the Student-t and exponential power (EP) distributions. A Bayesian approach is adopted with the aid of simulation to obtain posterior summaries. We shall show that the computational burden for the Bayesian calculations is alleviated via the scale mixtures representations. Illustrative examples are given.

Keywords

Normal DistributionStudent-t DistributionExponential Power DistributionScale mixtures of Normal DistributionsScale Mixtures of Uniform distributionsMarkov chain Monte CarloGibbs SamplerPure PremiumCredibilityRobustnessOutliers
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 1 , May 2003 , pp. 93 - 104
Copyright
Copyright © ASTIN Bulletin 2003

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