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Based on maximum likelihood estimation Bayesian premiums

Author: HeLiang
Tutor: WuXianYi
School: East China Normal University
Course: Actuarial Science
Keywords: Bayesian estimation Bayesian premiums Reliability premiums MLE Asymptotic equivalence
CLC: F840
Type: Master's thesis
Year: 2009
Downloads: 89
Quote: 0
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Abstract


Based on historical observations , Bayesian premium is quadratic loss function under the \However , in general, the distribution of the risk parameters are unknown , Bayesian premiums can not be solved . Based on the idea of ??the premium reliability , as well as Bayesian estimation with maximum likelihood estimation of contact , through the Bayesian estimation is limited to maximum likelihood estimation of a linear combination of the premium to get a new estimate , called the New Bayesian premiums . In the most common EDF (Exponential dispersion family) family of distributions , the new estimates and Bayesian estimation of reliability estimates and has the same form of expression. In many contracts , using the sample -related information to estimate a priori information, thus , need not know the new premium Bayesian prior distribution forms . Through data simulation found that it is more than B (?) Hlmann experience reliability estimation mean square error is small . For some distributions , the parameters of the maximum likelihood estimation problem does not exist , the paper found an asymptotic equivalence MLE estimates , this estimate is easier to solve in practice .

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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