A general optimal approach to Bühlmann credibility theory

DOI10.1016/j.insmatheco.2022.02.003zbMath1490.91179OpenAlexW4214742500MaRDI QIDQ2138632

Yujie Yan, Kai-Sheng Song

Publication date: 12 May 2022

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.02.003

zbMATH Keywords

predictionminimum mean squared errorasymptotic and finite-sample optimal weightsheavy-tailed claims distributionsleading-terms approximationmultiple non-linear credibility estimators

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Credibility using a loss function from Spline theory
• Efficiency of a Linear Combination of the Median and the Sample Mean: The Double Truncated Normal Distribution
• Credibility Using a Loss Function from Spline Theory

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