Bayesian credibility premium with GB2 copulas

Himchan Jeong, Emiliano A. Valdez
2020 Dependence Modeling  
AbstractFor observations over a period of time, Bayesian credibility premium may be used to predict the value of a response variable for a subject, given previously observed values. In this article, we formulate Bayesian credibility premium under a change of probability measure within the copula framework. Such reformulation is demonstrated using the multivariate generalized beta of the second kind (GB2) distribution. Within this family of GB2 copulas, we are able to derive explicit form of
more » ... sian credibility premium. Numerical illustrations show the application of these estimators in determining experience-rated insurance premium. We consider generalized Pareto as a special case.
doi:10.1515/demo-2020-0009 fatcat:p6swt2s6i5flhpja6sb6rylrom