On credibility evaluation and the tail area of the exponential dispersion family

Zinoviy Landsman, Udi E. Makov

Research output: Contribution to journalArticlepeer-review

Abstract

It has recently been established that the credibility formula for claim distributions belonging to the exponential dispersion family with a known dispersion parameter λ provides the exact predicted mean for a future claim. This paper addresses the case when λ is unknown and when its prior distribution is unspecified. An "optimal" credibility formula is derived for the case when one can specify the probability that claims exceed a given threshold, corresponding to the likelihood of very large claims.

Original languageEnglish
Pages (from-to)277-283
Number of pages7
JournalInsurance: Mathematics and Economics
Volume27
Issue number3
DOIs
StatePublished - 14 Dec 2000

Keywords

  • Credibility formula
  • Exponential dispersion family
  • Fair premium
  • Optimal credibility factor
  • Tail probability

ASJC Scopus subject areas

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

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