Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter

DOI10.1080/03461238.2014.926977zbMath1401.91210OpenAlexW2000387616MaRDI QIDQ4576972

David A. Stanford, Amin Hassan Zadeh

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.926977

zbMATH Keywords

Markov chainscredibility theoryphase-type distributionscredibility premiumBayesian premiumBühlmann credibilityuniformizaton

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Continuous-time Markov processes on general state spaces (60J25)

Related Items (3)

Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ On a Dirichlet process mixture representation of phase-type distributions ⋮ Satisficing credibility for heterogeneous risks

Cites Work

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• Exponential dispersion models and credibility
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• The use of phase-type models for disability insurance calculations
• On the Distribution of the Deficit at Ruin when Claims are Phase-type

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