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Article: On Bayesian mixture credibility

TitleOn Bayesian mixture credibility
Authors
KeywordsBayesian mixture models
Clustering
Credibility premium principle
Credibility theory
Dirichlet process
Infinite mixture
Risk characteristics
Weighted Chinese Restaurant process
Issue Date2006
PublisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST
Citation
Astin Bulletin, 2006, v. 36 n. 2, p. 573-588 How to Cite?
AbstractWe introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture models provide us with much flexibility in the specification of the claim distribution. We employ the sampling scheme based on a weighted Chinese restaurant process introduced in Lo et al. (1996) to estimate a Bayesian infinite mixture model from the claim data. The Bayesian sampling scheme also provides a systematic way to cluster the claim data. This can provide some insights into the risk characteristics of the policyholders. The estimated credibility premium from the Bayesian infinite mixture model can be written as a linear combination of the prior estimate and the sample mean of the claim data. Estimation results for the Bayesian mixture credibility premiums will be presented. © 2006 by Astin Bulletin. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82676
ISSN
2015 Impact Factor: 0.732
2015 SCImago Journal Rankings: 0.979
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorLau, JWen_HK
dc.contributor.authorSiu, TKen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:32:08Z-
dc.date.available2010-09-06T08:32:08Z-
dc.date.issued2006en_HK
dc.identifier.citationAstin Bulletin, 2006, v. 36 n. 2, p. 573-588en_HK
dc.identifier.issn0515-0361en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82676-
dc.description.abstractWe introduce a class of Bayesian infinite mixture models first introduced by Lo (1984) to determine the credibility premium for a non-homogeneous insurance portfolio. The Bayesian infinite mixture models provide us with much flexibility in the specification of the claim distribution. We employ the sampling scheme based on a weighted Chinese restaurant process introduced in Lo et al. (1996) to estimate a Bayesian infinite mixture model from the claim data. The Bayesian sampling scheme also provides a systematic way to cluster the claim data. This can provide some insights into the risk characteristics of the policyholders. The estimated credibility premium from the Bayesian infinite mixture model can be written as a linear combination of the prior estimate and the sample mean of the claim data. Estimation results for the Bayesian mixture credibility premiums will be presented. © 2006 by Astin Bulletin. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=ASTen_HK
dc.relation.ispartofASTIN Bulletinen_HK
dc.subjectBayesian mixture modelsen_HK
dc.subjectClusteringen_HK
dc.subjectCredibility premium principleen_HK
dc.subjectCredibility theoryen_HK
dc.subjectDirichlet processen_HK
dc.subjectInfinite mixtureen_HK
dc.subjectRisk characteristicsen_HK
dc.subjectWeighted Chinese Restaurant processen_HK
dc.titleOn Bayesian mixture credibilityen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0515-0361&volume=36&spage=573&epage=588&date=2006&atitle=On++Bayesian+Mixture+Credibilityen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.2143/AST.36.2.2017934en_HK
dc.identifier.scopuseid_2-s2.0-35348840445en_HK
dc.identifier.hkuros125320en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-35348840445&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume36en_HK
dc.identifier.issue2en_HK
dc.identifier.spage573en_HK
dc.identifier.epage588en_HK
dc.identifier.isiWOS:000243005800015-
dc.publisher.placeBelgiumen_HK
dc.identifier.scopusauthoridLau, JW=16687049100en_HK
dc.identifier.scopusauthoridSiu, TK=8655758200en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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