Scale Mixtures Distributions in Insurance Applications
Copyright policy )Scale Mixtures Distributions in Insurance Applications
In this paper non-normal distributions via scale mixtures are introduced into insurance applications. The symmetric distributions of interest are the Student- t and exponential power ( EP ) distributions. A Bayesian approach is adopted with the aid of simulation to obtain posterior summaries. We shall show that the computational burden for the Bayesian calculations is alleviated via the scale mixtures representations. Illustrative examples are given.
- Chinese University of Hong Kong China (People's Republic of)
- University of Hong Kong China (People's Republic of)
Applications of statistics to actuarial sciences and financial mathematics, normal distribution, Student-\(t\) distribution, Bayesian inference, Computational problems in statistics, exponential power distribution, robustness, scale mixtures of uniform distributions, outleirs, credibility, Markov chain Monte Carlo, Risk theory, insurance, Gibbs sampler, pure premium, scale mixtures of normal distributions
Applications of statistics to actuarial sciences and financial mathematics, normal distribution, Student-\(t\) distribution, Bayesian inference, Computational problems in statistics, exponential power distribution, robustness, scale mixtures of uniform distributions, outleirs, credibility, Markov chain Monte Carlo, Risk theory, insurance, Gibbs sampler, pure premium, scale mixtures of normal distributions
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