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Title: On the use of conditional specification models in claim count distributions: an application to Bonus-Malus systems
Authors: Sarabia, José María
Gómez Déniz, Emilio 
Vázquez Polo, Francisco José 
UNESCO Clasification: 1209 Estadística
Keywords: Distribución
Issue Date: 2004
Publisher: 0515-0361
Journal: ASTIN Bulletin 
Abstract: In this article, a new methodology for obtaining a premium based on a broad class of conjugate prior distributions, assuming lognormal claims, is presented. The new class of prior distributions arise in a natural way, using the conditional specification technique introduced by Arnold, Castillo, and Sarabia (1998, 1999). The new family of prior distributions is very flexible and contains, as particular cases, many other distributions proposed in the literature. Together with its flexibility, the main advantage of this distribution is that, due to its dependence on a large number of hyperparameters, it allows incorporating a wide amount of prior information. Several methods for hyperparameter elicitation are proposed. Finally, some examples with real and simulated data are given.
ISSN: 0515-0361
DOI: 10.1017/S0515036100013891
Source: ASTIN Bulletin[ISSN 0515-0361],v. 34, p. 85-98
Appears in Collections:Artículos
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