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Optimal Parameter-estimation Under Zero Excess Assumptions in the Buhlmann-straub Model

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Devylder, F. Goovaerts, M.

We prove that classical estimators and pseudo-estimators used in the Buhlmann-Straub credibility theory model are optimal, in the sense of minimum variance, under zero excess assumptions on the involved random variables.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 1992
Language Anglais
Journal information "Insurance: Mathematics and Economics" - Vol. 11, no. 3, p. 167-171 (1992)
Peer reviewed yes
Publisher Elsevier Science Bv (Amsterdam)
issn 0167-6687
e-issn 1873-5959
Publication status Publié
Affiliation UCL
Keywords OPTIMAL PARAMETER ESTIMATION ; BUHLMANN-STRAUB MODEL
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Bibliographic reference Devylder, F. ; Goovaerts, M.. Optimal Parameter-estimation Under Zero Excess Assumptions in the Buhlmann-straub Model. In: Insurance: Mathematics and Economics, Vol. 11, no. 3, p. 167-171 (1992)
Permanent URL http://hdl.handle.net/2078.1/50030