Abstract
Simple linear credibility formulae can be obtained when the structure distribution of the risk parameter is conjugate and where claims belong to the Exponential Dispersion Model. The paper focuses on the case when a portfolio is heterogeneous and the structure distribution is given by a mixture of conjugate distributions. The resulting credibility formula is derived and its properties studied.
Keywords: Exponential Dispersion Model, credibility, heterogeneous population.
Volume
Berlin
Year
2003
Categories
Financial and Statistical Methods
Credibility
Publications
ASTIN Colloquium
