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Document Details : Title: A Class of Conjugate Priors with Applications to Excess-of-Loss Reinsurance Author(s): HESSELAGER, Ole Journal: ASTIN Bulletin Volume: 23 Issue: 1 Date: May 1993 Pages: 77-93 DOI: 10.2143/AST.23.1.2005102 Abstract : We consider the problem of forecasting the total cost of claims in excess-of-loss reinsurance. The number of claims reported to the direct insurer is assumed to follow a Poisson law, and the claim severities are modelled by a Pareto distribution. The Poisson frequency as well as the Pareto parameter will be considered as random parameters in a Bayesian setting. We derive the class of conjugate joint prior distributions, which turn out to specify a (prior) dependence between the two parameters. The use of conjugate priors facilitates the mathematical analysis, and it also makes it easy to interpret the parameters of the prior distribution |
