Accession Number : ADA111690

Title :   A Bayesian Interpretation of Data Trimming to Remove Excess Claims. Excess Claims and Data Trimming in the Context of Credibility Rating Procedures.

Descriptive Note : Research rept.,

Corporate Author : CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER

Personal Author(s) : Jewell,William S ; Buehlmann,Hans ; Gisler,Alois

PDF Url : ADA111690

Report Date : Dec 1981

Pagination or Media Count : 6

Abstract : The effect of excess or catastrophic claims is well recognized in insurance. For example, in experience rating it is customary to truncate the data to minimize the effect of such outliers; Gisler has recently proposed a credibility formula using such data trimming. This paper develops a model of the excess claims process and finds the exact Bayesian forecast. The resulting forecast form is approximately at data trim, thus justifying the simpler, heuristic approach. (Author)

Descriptors :   *Bayes theorem, *Forecasting, *Insurance, *Ratings, Models, Data reduction, Truncation, Removal, Linear systems, Random variables

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE