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서지반출
Constrained Bayes and Empirical Bayes Estimator Applications in Insurance Pricing
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  • Constrained Bayes and Empirical Bayes Estimator Applications in Insurance Pricing
  • Constrained Bayes and Empirical Bayes Estimator Applications in Insurance Pricing
저자명
Kim. Myung Joon,Kim. Yeong-Hwa
간행물명
Communications for statistical applications and methods
권/호정보
2013년|20권 4호|pp.321-327 (7 pages)
발행정보
한국통계학회
파일정보
정기간행물|ENG|
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이 논문은 한국과학기술정보연구원과 논문 연계를 통해 무료로 제공되는 원문입니다.
서지반출

기타언어초록

Bayesian and empirical Bayesian methods have become quite popular in the theory and practice of statistics. However, the objective is to often produce an ensemble of parameter estimates as well as to produce the histogram of the estimates. For example, in insurance pricing, the accurate point estimates of risk for each group is necessary and also proper dispersion estimation should be considered. Well-known Bayes estimates (which is the posterior means under quadratic loss) are underdispersed as an estimate of the histogram of parameters. The adjustment of Bayes estimates to correct this problem is known as constrained Bayes estimators, which are matching the first two empirical moments. In this paper, we propose a way to apply the constrained Bayes estimators in insurance pricing, which is required to estimate accurately both location and dispersion. Also, the benefit of the constrained Bayes estimates will be discussed by analyzing real insurance accident data.