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Bayesian credibility for excess of loss reinsurance rating

Author:
Mark Cockroft
Source:
General Insurance Convention 2004
Publication date:
12 October 2004
File:
PDF 200.65 KB
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Document description

This paper discusses how to derive a credibility weight between exposure- and experience-driven rates for excess of loss reinsurance. The exposure rate comes from a Poisson-Pareto model, each with a prior Gamma distribution.