Title :
Semiparametric Credibility Ratemaking Using a Piecewise Linear Prior
Author_Institution :
Coll. of Math. & Comput. Sci., Guangxi Univ. for Nat., Nanning, China
Abstract :
A practical estimate on the credibility formula is presented, where a piecewise linear function is taken as the approximation of the prior distribution and applied to the credibility theory. The convergence of the approximation is analyzed. Simulation results for the lognormal-lognormal mixture show the effectiveness of the proposed estimate on the credibility.
Keywords :
insurance; approximation convergence; credibility theory; lognormal-lognormal mixture; piecewise linear prior function; semiparametric credibility ratemaking; Bayesian methods; Estimation; Insurance; Kernel; Mathematical model; Optimization; Piecewise linear approximation; bayesian estimation; credibility theory; piecewise linear function;
Conference_Titel :
Computational Sciences and Optimization (CSO), 2011 Fourth International Joint Conference on
Conference_Location :
Yunnan
Print_ISBN :
978-1-4244-9712-6
Electronic_ISBN :
978-0-7695-4335-2
DOI :
10.1109/CSO.2011.237
