On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation

DOI10.2143/AST.37.2.2024074zbMath1154.62023OpenAlexW4251164548MaRDI QIDQ5505908

Cristina Lozano-Colomer, José L. Vilar-Zanón

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.2143/ast.37.2.2024074

zbMATH Keywords

BayesPareto distributionsreinsurancelarge claimsgeneralized inverse Gaussian familyextreme value modelingexact credibilityXL premiums

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Efficient empirical Bayes estimates for risk parameters of Pareto distributions ⋮ Exact posterior distribution for nonconjugate Pareto models ⋮ Conditional Tail Moments of the Exponential Family and Its Related Distributions ⋮ Estimation of the Pareto and related distributions – A reference-intrinsic approach

Cites Work

• Unnamed Item
• A simple general approach to inference about the tail of a distribution
• A course in credibility theory and its applications
• Bayesian Methods in Extreme Value Modelling: A Review and New Developments
• A New Class of Bayesian Estimators in Paretian Excess-of-Loss Reinsurance
• An introduction to statistical modeling of extreme values

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