Andrews

C.M. Chan

Choy

Herzog

Klugman

Landsman

Meyers

S.T. Boris Choy

Smith

Walker

In this paper non-normal distributions via scale mixtures are introduced into insurance applications. The symmetric distributions of interest are the Student-t and exponential power (EP) distributions. A Bayesian approach is adopted with the aid of simulation to obtain posterior summaries. We shall show that the computational burden for the Bayesian calculations is alleviated via the scale mixtures representations. Illustrative examples are given.</jats:p

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Astin Bulletin

Scale Mixtures Distributions in Insurance Applications

Scale Mixtures Distributions in Insurance Applications

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