Bayesian credibility premium with GB2 copulas
For observations over a period of time, Bayesian credibility premium may be used to predict the value of a response variable for a subject, given previously observed values. In this article, we formulate Bayesian credibility premium under a change of probability measure within the copula framework....
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2020-07-01
|
| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2020-0009 |