Second Order Bayes Prediction of Functionals of Exponential Dispersion Distributions and an Application to the Prediction of the Tails

DOI10.2143/AST.34.2.505144zbMath1097.62018OpenAlexW4235359332MaRDI QIDQ5490566

Zinoviy Landsman

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.34.2.505144

zbMATH Keywords

credibility formulavariance functionspredictive meanlower truncated meanpredictive tailsecond order Bayes estimator

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (1)

Second-order Bayesian revision of a generalised linear model

Cites Work

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• Minimax estimation of the mean of a normal distribution when the parameter space is restricted
• Conjugate priors for exponential families
• Sample quantiles and additive statistics: Information, sufficiency, estimation
• Exponential Dispersion Models and Extensions: A Review
• Second-order minimax estimation of the mean value for exponential dispersion models

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