Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/114514
Título: Exact credibility reference Bayesian premiums
Autores/as: Gómez Déniz, Emilio 
Vázquez Polo, Francisco José 
Clasificación UNESCO: 530204 Estadística económica
Palabras clave: Bayesian
Credibility
Premium
Reference Decision
Robustness, et al.
Fecha de publicación: 2022
Proyectos: Aportaciones A la Toma de Decisiones Bayesianas Óptimas: Aplicaciones Al Coste-Efectividad Con Datos Clínicos y Al Análisis de Riestos Con Datos Acturiales. 
Publicación seriada: Insurance: Mathematics and Economics 
Resumen: In this paper, reference analysis, the tool provided by Berger et al. (2009), is used to obtain reference Bayesian premiums, which can be helpful when the practitioner has insufficient information to elicit a prior distribution. The Bayesian premiums thus obtained are based exclusively on prior distributions built from the model generated and from the available data. This mechanism produces an objective Bayesian inference, which appears to be the same as the robust Γ-minimax inference. In an informational-theoretical sense, the prior distribution used to make the inference is less informative. These Bayesian premiums are expected to approximate those which would have been obtained using proper priors describing a vague initial state of knowledge. Useful credibility expressions are readily derived by taking classes of priors involving restrictions on moments, i.e., restrictions on the collective or prior premium when the weighted squared-error loss function is used.
URI: http://hdl.handle.net/10553/114514
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2022.04.002
Fuente: Insurance: Mathematics and Economics [ISSN 0167-6687], v. 105, p. 128-143, (Julio 2022)
Colección:Artículos
Vista completa

Google ScholarTM

Verifica

Altmetric


Comparte



Exporta metadatos



Los elementos en ULPGC accedaCRIS están protegidos por derechos de autor con todos los derechos reservados, a menos que se indique lo contrario.