Bayesian Credibility for GLMs

@article{Xacur2017BayesianCF,
  title={Bayesian Credibility for GLMs},
  author={Oscar Alberto Quijano Xacur and J. Garrido},
  journal={arXiv: Applications},
  year={2017}
}
  • Oscar Alberto Quijano Xacur, J. Garrido
  • Published 2017
  • Mathematics, Computer Science
  • arXiv: Applications
  • We revisit the classical credibility results of Jewell and Buhlmann to obtain credibility premiums for a GLM using a modern Bayesian approach. Here the prior distributions can be chosen without restrictions to be conjugate to the response distribution. It can even come from out-of-sample information if the actuary prefers. Then we use the relative entropy between the "true" and the estimated models as a loss function, without restricting credibility premiums to be linear. A numerical… CONTINUE READING
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