Asymptotic optimality of Bayes and credibility premiums

Schmidt, Klaus D.

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URL:	https://madoc.bib.uni-mannheim.de/1986
URN:	urn:nbn:de:bsz:180-madoc-19865
Document Type:	Working paper
Year of publication:	1989
The title of a journal, publication series:	None
Publication language:	English
Institution:	School of Business Informatics and Mathematics > Sonstige - Fakultät für Wirtschaftsinformatik und Wirtschaftsmathematik
MADOC publication series:	Veröffentlichungen der Fakultät für Mathematik und Informatik > Institut für Mathematik > Mannheimer Manuskripte
Subject:	510 Mathematics
Subject headings (SWD):	Bayes-Regel
Keywords (English):	Individual premium , Bayes premium , credibility premium , asymptotic optimality , convergence
Abstract:	For a risk whose annual claim amounts are conditionally i.i.d. with respect to a risk parameter, it is known that the Bayes and the credibility premiums are asymptotically optimal in terms of losses. In the present note it is shown that the Bayes and the credibility premiums actually converge to the individual premium.
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