Exact Bühlmann–Straub credibility for Poisson-gamma counts

ID: exact-buhlmann-straub-credibility-for-poisson-gamma-counts

With a Poisson-gamma conjugacy with unequal exposures model, and , so the Bühlmann–Straub credibility factor is . The credibility estimate simplifies to , exactly the posterior mean and hence the Bayes estimator under squared error loss. The agreement is exact because that posterior mean is already affine in the exposure-weighted data.

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