## Objective Bayesian modelling of insurance risks with the skewed Student-t distribution

Publication ,  Journal Article
Leisen, F; Marin, JM; Villa, C
Published in: Applied Stochastic Models in Business and Industry
March 1, 2017

Insurance risks data typically exhibit skewed behaviour. In this paper, we propose a Bayesian approach to capture the main features of these data sets. This work extends a methodology recently introduced in the literature by considering an extra parameter that captures the skewness of the data. In particular, a skewed Student-t distribution is considered. Two data sets are analysed: the Danish fire losses and the US indemnity loss. The analysis is carried with an objective Bayesian approach. For the discrete parameter representing the number of the degrees of freedom, we adopt a novel prior recently appeared in the literature. Copyright © 2017 John Wiley & Sons, Ltd.

## Published In

Applied Stochastic Models in Business and Industry

1526-4025

1524-1904

March 1, 2017

33

2

## Start / End Page

136 / 151

• Statistics & Probability
• 4905 Statistics
• 4901 Applied mathematics
• 3502 Banking, finance and investment
• 1502 Banking, Finance and Investment
• 0104 Statistics
• 0102 Applied Mathematics

### Citation

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Leisen, F., Marin, J. M., & Villa, C. (2017). Objective Bayesian modelling of insurance risks with the skewed Student-t distribution. Applied Stochastic Models in Business and Industry, 33(2), 136–151. https://doi.org/10.1002/asmb.2227
Leisen, F., J. M. Marin, and C. Villa. “Objective Bayesian modelling of insurance risks with the skewed Student-t distribution.” Applied Stochastic Models in Business and Industry 33, no. 2 (March 1, 2017): 136–51. https://doi.org/10.1002/asmb.2227.
Leisen F, Marin JM, Villa C. Objective Bayesian modelling of insurance risks with the skewed Student-t distribution. Applied Stochastic Models in Business and Industry. 2017 Mar 1;33(2):136–51.
Leisen, F., et al. “Objective Bayesian modelling of insurance risks with the skewed Student-t distribution.” Applied Stochastic Models in Business and Industry, vol. 33, no. 2, Mar. 2017, pp. 136–51. Scopus, doi:10.1002/asmb.2227.
Leisen F, Marin JM, Villa C. Objective Bayesian modelling of insurance risks with the skewed Student-t distribution. Applied Stochastic Models in Business and Industry. 2017 Mar 1;33(2):136–151.

## Published In

Applied Stochastic Models in Business and Industry

1526-4025

1524-1904

March 1, 2017

33

2

136 / 151