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

Devylder, F.;Goovaerts, M.
(1992) Insurance: Mathematics and Economics — Vol. 11, n° 3, p. 167-171 (1992)

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  • Devylder, F.
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  • Goovaerts, M.
    Author
Abstract
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.
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Devylder, F., & Goovaerts, M. (1992). Optimal Parameter-estimation Under Zero Excess Assumptions in the Buhlmann-straub Model. Insurance: Mathematics and Economics, 11(3), 167-171. https://doi.org/10.1016/0167-6687(92)90023-5 (Original work published 1992)