A Bayesian Nonparametric Approach to the Estimation of the Adjustment Coefficient, with Applications to Insurance and Telecommunications

A Bayesian Nonparametric Approach to the Estimation of the Adjustment Coefficient, with Applications to Insurance and Telecommunications

In this paper, a nonparametric Bayesian approach to the estimation of the adjustment coefficient for the distribution of the maximum of a random walk is performed. Approximations of the posterior distribution of the adjustment coefficient are studied. The consistency and asymptotic normality of its...

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Veröffentlicht in:Sankhyā (2003) 2004-02, Vol.66 (1), p.75-108
Hauptverfasser: Capitanio, Antonella, Conti, Pier Luigi
Format: Artikel
Sprache:eng
Schlagworte:
Approximation
Bayesian Inference
Claims adjustment
Coefficients
Consistent estimators
Distribution functions
Infinity
Integration by parts
Probabilities
Sample size
Telecommunications
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Zusammenfassung:In this paper, a nonparametric Bayesian approach to the estimation of the adjustment coefficient for the distribution of the maximum of a random walk is performed. Approximations of the posterior distribution of the adjustment coefficient are studied. The consistency and asymptotic normality of its posterior law are also proved under mild conditions. Finally, an application to real data is provided.
ISSN:0972-7671