Credibility evaluation for the exponential dispersion family

DOI10.1016/S0167-6687(98)00035-3zbMath0927.62109OpenAlexW2084379756MaRDI QIDQ1293808

Udi E. Makov, Zinoviy Landsman

Publication date: 14 December 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00035-3

zbMATH Keywords

Fisher informationmaximum entropycredibility formulaexponential dispersion familyfair premiumoptimal credibility factor

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• Natural exponential families with quadratic variance functions
• On polynomial variance functions
• Conjugate priors for exponential families
• Exponential Dispersion Models and Extensions: A Review
• Exponential dispersion models and credibility
• The Lindsay transform of natural exponential families
• Fitting Tweedie's compound poisson model to insurance claims data
• On implications of credible means being exact bayesian
• Robust Statistics

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