For the purposes of Bayesian Inference, is it assumed that the historical observations used for the prior probability values must be from the exact entity for which you are looking to calculate the posterior probability?
By way of an example, say I am an automobile insurer. I take on a new covered entity, a 22 year old male from the midwest. In the first week, this new covered entity files a claim for an accident, we don't know who was at fault. I have no prior observational data on this covered entity, but I am curious how likely it is that they are "average" in their attention to safety, and just had a bad day. Can I borrow historical observations from other covered entities who are statistically similar (22 years old, male, live in the midwest, drive with the same frequency, etc) and use it to calculate my prior probabilities for the Bayesian Inference? My assumption is yes, but in that case, I am curious of the following:
Are there any assumptions that will be violated in doing this?
How can I weight the "more similar" historical observations (22 years old, midwest, male) differently than my "less similar" historical observations (23 years old, midwest, female, drives less frequently)?