Semiparametric Credibility Ratemaking Using a Piecewise Linear Prior
Jifu Nong · 2011
A practical estimate on the credibility formula is presented, where a piecewise linear function is taken as the approximation of the prior distribution and applied to the credibility theory. The convergence of the approximation is analyzed. Simulation results for the lognormal-lognormal mixture show the effectiveness of the proposed estimate on the credibility.