Convergence of Bayes and Credibility Premiums

Abstract
For a risk whose annual claim amounts are conditionally i.i.d, with respect to a risk parameter, it is known that the Bayes and credibility premiums are asymptotically optimal in terms of losses. In the present note it is shown that the Bayes and credibility premiums actually converge to the individual premium.
Volume
20:2
Page
167-172
Year
1990
Categories
Financial and Statistical Methods
Credibility
Actuarial Applications and Methodologies
Ratemaking
Publications
ASTIN Bulletin
Authors
Klaus D Schmidt