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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 |
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