Abstract
AbstractThe typical assumption of independence among claim size distributions is not always satisfied in risk modelling. In this study, the exchangeable claim sizes are considered aggregated claims that are obtained via compound Poisson process. Exchangeability of the claim size is obtained by the conditional independence, using parametric and nonparametric measures for the conditioning distribution. A Bayesian analysis of the proposed model is illustrated with Turkish Earthquake Insurance Claims Data between 2000 and 2003.KeywordsPosterior DistributionClaim SizeClaim AmountHomogeneous Poisson ProcessPosterior Predictive DistributionThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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