The classical credibility theory proposed by Bühlmann has been widely used in general insurance applications. In this paper we propose a credibility theory via truncation of the loss data, or the trimmed mean. The proposed framework contains the classical credibility theory as a special case...

Fitting insurance loss data can be challenging because of their non-negativity, asymmetry, skewness, and possible multi-modality. Though many parametric models have been used in the actuarial literature, these difficulties call for more flexible models for actuarial applications. In this paper,...