22. Credibility Theory

  1. S. David Promislow

Published Online: 14 JAN 2011

DOI: 10.1002/9781119971528.ch22

Fundamentals of Actuarial Mathematics, Second Edition

Fundamentals of Actuarial Mathematics, Second Edition

How to Cite

Promislow, S. D. (2010) Credibility Theory, in Fundamentals of Actuarial Mathematics, Second Edition, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9781119971528.ch22

Author Information

  1. York University, Toronto, Canada

Publication History

  1. Published Online: 14 JAN 2011
  2. Published Print: 17 DEC 2010

ISBN Information

Print ISBN: 9780470684115

Online ISBN: 9781119971528



  • credibility theory;
  • nature of credibility theory - some paying more than they should be, and some less;
  • credibility theory, problem of analyzing additional information - for modifying future premiums;
  • information assessment - utilizing information to reassess probabilities;
  • Monte Hall problem, examples - using information to alter probabilities;
  • conditional expectation and variance - applications to credibility theory, idea of conditional expectation;
  • conditional expectation and problem of prediction;
  • general framework for Bayesian credibility;
  • approximations, not applying exact methods - partial information about distributions;
  • unbiased estimators, desirable quantity of estimator - values it gives, averaging true value


This chapter contains sections titled:

  • Introduction

  • Conditional expectation and variance

  • General framework for Bayesian credibility

  • Classical examples

  • Approximations

  • Conditions for exactness

  • Estimation

  • Notes and references

  • Exercises