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Convergence of Bayes and Credibility Premiums

Published online by Cambridge University Press:  29 August 2014

Klaus D. Schmidt
Klaus D. Schmidt*
Affiliation:
University of Mannheim, West Germany
*
Fakultät für Mathematik und Informatik, Universität Mannheim, A 5, 6800 Mannheim, West Germany.
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Abstract

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For a risk whose annual claim amounts are conditionally i.i.d. with respect to a risk parameter, it is known that the Bayes and credibility premiums are asymptotically optimal in terms of losses. In the present note it is shown that the Bayes and credibility premiums actually converge to the individual premium.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 20 , Issue 2 , November 1990 , pp. 167 - 172
Copyright
Copyright © International Actuarial Association 1990

References

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