 previous article in this issue | next article in this issue  |
|
Document Details : Title: Predictive Stop-Loss Premiums Author(s): HÜRLIMANN, Werner Journal: ASTIN Bulletin Volume: 23 Issue: 1 Date: May 1993 Pages: 55-76 DOI: 10.2143/AST.23.1.2005101 Abstract : Based on a representation of the aggregate claims random variable as linear combination of counting random variables, a hnear multivariate Bayesian model of risk theory is defined. In case of the classical risk theoretical assumptions, that is conditional Poisson likelihood counting variates and Gamma structural density, the model is shown to identify with a Bayesian version of the collective model of risk theory. An interesting multivariate credibility formula for the predlcttve mean is derived. A new type of recursive algorithm, called three-stage nested recursive scheme, allows to evaluate the predictive density and associated predictive stop-loss premiums in an effective way. |
