Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42607
Title: A simple method to study sensitivity of BMP's
Authors: Gómez-Déniz, E. 
Calderín-Ojeda, E.
Cabrera-Ortega, I. 
UNESCO Clasification: 12 Matemáticas
Keywords: Bayesian robustness
Computation theory
Issue Date: 2006
Publisher: 0361-0926
Journal: Communications in Statistics - Theory and Methods 
Abstract: In this article we measure the local or infinitesimal sensitivity of a kind of Bayes estimates which appear in bonus-malus systems. Bonus-malus premiums can be viewed as a functional depending on the prior distribution. To measure when small changes in the prior cause large changes in the premium we compute the norm of the Fréchet derivative and propose a simple procedure to decide if a bonus-malus premium is robust. As an application, an example where the risk has a Poisson distribution and its parameter follows a Gamma prior distribution is presented under the net and variance premium principles.
URI: http://hdl.handle.net/10553/42607
ISSN: 0361-0926
DOI: 10.1080/03610920500498766
Source: Communications in Statistics - Theory and Methods[ISSN 0361-0926],v. 35, p. 583-591
Appears in Collections:Artículos
Show full item record

SCOPUSTM   
Citations

2
checked on Dec 4, 2022

WEB OF SCIENCETM
Citations

2
checked on Dec 4, 2022

Page view(s)

84
checked on Sep 10, 2022

Google ScholarTM

Check

Altmetric


Share



Export metadata



Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.