Credible Means are exact Bayesian for Exponential Families

Abstract

AbstractThe credibility formula used in casualty insurance experience rating is known to be exact for certain prior-likelihood distributions, and is the minimum least-squares unbiased estimator for all others. We show that credibility is, in fact, exact for all simple exponential families where the mean is the sufficient statistic, and is also exact in an extended sense for all regular distributions with their natural conjugate priors where there is a fixed-dimensional sufficient statistic.