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Preprint Oct 2026

A Dirichlet Mixed-Membership Model for Exact Multivariate Distributional Credibility

Credibility theory combines individual experience with portfolio information for insurance pricing, but classical formulations focus primarily on conditional means and expected premiums. We propose a Dirichlet mixed-membership model (DMMM) for multivariate distributional credibility. Policyholder risk is represented by...

Sebastián Calcetero Vanegas, I. Chan · 0 citations

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