Bayesian credibility premium with GB2 copulas

DOI10.1515/demo-2020-0009zbMath1457.62158OpenAlexW3121949725MaRDI QIDQ828062

Emiliano A. Valdez, Himchan Jeong

Publication date: 14 January 2021

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2020-0009

zbMATH Keywords

hierarchical modelsBayesian posteriorgeneralized beta of the second kind (GB2) and its copulageneralized Pareto (GP)insurance credibility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Exact distribution theory in statistics (62E15)

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Cites Work

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