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BY 4.0 license Open Access Published by De Gruyter Open Access July 27, 2020

Bayesian credibility premium with GB2 copulas

  • Himchan Jeong and Emiliano A. Valdez EMAIL logo
From the journal Dependence Modeling


For observations over a period of time, Bayesian credibility premium may be used to predict the value of a response variable for a subject, given previously observed values. In this article, we formulate Bayesian credibility premium under a change of probability measure within the copula framework. Such reformulation is demonstrated using the multivariate generalized beta of the second kind (GB2) distribution. Within this family of GB2 copulas, we are able to derive explicit form of Bayesian credibility premium. Numerical illustrations show the application of these estimators in determining experience-rated insurance premium. We consider generalized Pareto as a special case.

MSC 2010: 62E15; 62F15; 62P05


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Received: 2020-03-11
Accepted: 2020-06-23
Published Online: 2020-07-27

© 2020 Himchan Jeong et al., published by De Gruyter

This work is licensed under the Creative Commons Attribution 4.0 International License.

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