Credibility theory: A new view from the theory of second order optimal statistics

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Second order (s.o.) Bayes estimators, being the main tool in the s.o. optimal statistical theory, provides a natural basis for a new approach to credibility evaluation. For the cases, where the classical credibility formula fails in the sense that it does no longer represent the predicted mean, this approach suggests an s.o. modified credibility formula, which approximately (in some sense) equals the predicted mean even for small size samples. The results are applied to the important class of location dispersion distributions and are illustrated by a number of numerical experiments.

Original languageEnglish
Pages (from-to)351-362
Number of pages12
JournalInsurance: Mathematics and Economics
Issue number3
StatePublished - 2002


  • Location dispersion class
  • Second order Bayes estimator
  • Second order modified credibility formula
  • Small samples

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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