The mean credibility formula is a bayes rule |
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Authors: | Benjamin Zehnwirth |
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Institution: | School of Economic ? Financial Studies Macquarie University , North Ryde , N.S.W. , 2113 , Australia |
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Abstract: | Abstract Recent advances in statistical decision theory and stochastic processes provide the machinery for showing that the celebrated mean credibility formula is a Bayes rule within a nonparametric context. The credibility factor is obtained as a simple function of the parameter that characterizes the prior distribution. A natural estimator of leads to a credibility formula having a form similar to the James-Stein estimator. |
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