ACSCI 4020: Credibility Theory
Credits: 3. Contact Hours: Lecture 3.
Prereq: ACSCI 4010
Method of moments and percentile matching. The method of maximum likelihood estimation for complete individual data, grouped data, censored and truncated data, and variance estimation. Bayesian estimation, including conjugate priors, posterior distributions, and the Poisson-gamma model. Credibility theory, including limited fluctuation credibility, applying Bayesian analysis for both discrete and continuous models, Buhlmann and Buhlmann-Straub models, and their relationship to Bayesian models. Simulating discrete and continuous random variables and the bootstrap method for estimating mean squared error.
(Typically Offered: Spring)