Robust bayesian credibility using semiparametric models

ASTIN Bulletin

Volumn 28, Issue 2, 1998, Pages 187-203

  Young, Virginia R ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

claim estimation; Dempster Shafer belief functions; Kernel density estimation; robust Bayesian estimation; upper and lower expectations

Indexed keywords

EID: 85011526553     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.28.2.519065     Document Type: Article

References (16)

1. Berger, J.O. (1994), An overview of robust Bayesian analysis, with discussion, Test, 3: 5–124.
2. Bühlmann, H. (1967), Experience rating and credibility, ASTIN Bulletin, 4: 199–207.
3. Bühlmann, H. (1970), Mathematical Models in Risk Theory, Springer-Verlag, New York.
4. Bühlmann, H. and Straub, E. (1970), Glaubwürdigkeit für Schadensätze, Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, 70: 111–133.
5. Dannenburg, D.R., Kaas, R. and Goovaerts, M.J. (1996), Practical Actuarial Credibility Models, Institute of Actuarial Science and Econometrics, University of Amsterdam, Amsterdam, The Netherlands.
6. Dempster, A.P. (1967), Upper and lower probabilities induced by a multivalued mapping, Annuals of Mathematical Statistics, 38: 325–339.
7. Dempster, A.P. (1968), A generalization of Bayesian inference, with discussion, Journal of the Royal Statistical Society, Series B, 30: 205–247.
8. Denneberg, D. (1994), Non-Additive Measure and Integral, Kluwer, Dordrecht.
9. Frees, E.W., Young, V.R. and Luo, Y. (1998), A longitudinal data analysis interpretation of credibility models, working paper.
10. Sereling, R.J. (1980), Approximation Theorems of Mathematical Statistics, Wiley, New York.
11. Shafer, G. (1979), Allocations of probability, Annals of Probability, 7: 827–839.
12. Silverman, B.W. (1986), Density Estimation for Statistics and Data Analysis, Chapman & Hall, London.
13. Walley, P. (1991), Statistical Reasoning with Imprecise Probabilities, Chapman & Hall, London.
14. Wasserman, L.A. (1990a), Belief functions and statistical inference, Canadian Journal of Statistics, 18: 183–196.
15. Wasserman, L.A. (1990b), Prior envelopes based on belief functions, Annals of Statistics, 18: 454–464.
16. Young, V.R. (1997), Credibility using semiparametric models, ASTIN Bulletin, 27: 273–285.