On Dynamic Credibility Models

• Autorzy: Elżbieta Ferenstein

Warianty tytułu

O dynamicznych modelach wiarygodności

• Języki publikacji: EN

Abstrakty

EN

The Bühlamnn-Straub credibility model is extended for risk profiles varying with time. This is a special case of an evolutionary credibility model with risk parameter changing with time according to an unobserved sequence of random variables. The exact formulas of Bayes premiums are obtained for models in which the probability distributions of risk profiles switch to others at random unobserved time periods with known distributions. In particular, for exponential type class of distributions with conjugate priors, the Bayes premium is obtained recursively from a non-linear multidimensional Kalman type filter.(original abstract)

Model Bühlmanna-Strauba rozszerzono o profile ryzyka zmieniające się z czasem. Jest to szczególny przypadek ewolucyjnego modelu wiarygodności ze zmiennym w czasie parametrem ryzyka zależnym od nieobserwowanego ciągu zmiennych losowych. Otrzymano dokładną postać składek bayesowskich dla modeli, w których rozkłady prawdopodobieństwa profili ryzyka zmieniają się w nieobserwowanych losowych momentach o znanych rozkładach. Przede wszystkim dla wykładniczych klas rozkładów ze sprzężonymi rozkładami a priori otrzymano składkę bayesowską rekurencyjnie jako pewien nieliniowy wielowymiarowy filtr Kalmana.(abstrakt oryginalny)

Słowa kluczowe

EN

Bayesian models; Statistics

PL

Modele bayesowskie; Statystyka

• Czasopismo: Śląski Przegląd Statystyczny
• Rocznik: 2020
• Numer: nr 18 (24)
• Strony: 133--147

Twórcy

autor

Elżbieta Ferenstein

• Warsaw University of Technology, Poland ; Polish-Japanese Academy of Information Technology, Poland

Bibliografia

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Identyfikatory

DOI

10.15611/sps.2020.18.07