Model Variations in Credibility Theory.
CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER
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Classical credibility theory is a linearized Bayesian forecasting method, in which the expected value of the next observation is obtained as a mixture of a prior mean and the sample mean of observed data. In this paper, the author considers a variety of extensions to this model which appear to have practical importance. The main tool is least-squares theory.
- Economics and Cost Analysis
- Operations Research