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Bayesian models in actuarial mathematics

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Abstract.

The present paper provides a unifying survey of Bayesian models in different areas of actuarial mathematics. Bayesian models are discussed with regard to claim number processes, experience rating, and experience reserving. Most models are parametric, but experience rating is also considered in the case of vague prior information and an empirical Bayesian model of experience reserving is studied as well.

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Authors and Affiliations

  1. Lehrstuhl für Versicherungsmathematik, Technische Universität Dresden, D-01062 Dresden, Germany (e-mail: klausd@math.tu-dresden.de), , , , , , DE

    Klaus D. Schmidt

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  1. Klaus D. Schmidt
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Received July 1996/Revised version September 1996

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Schmidt, K. Bayesian models in actuarial mathematics. Mathematical Methods of OR 48, 117–146 (1998). https://doi.org/10.1007/s001860050016

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  • DOI: https://doi.org/10.1007/s001860050016

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