Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42892
Title: Robust Bayesian bonus-malus premiums under the conditional specification model
Authors: Gómez Déniz, Emilio 
Sarabia, José María
Vázquez Polo, F. José 
UNESCO Clasification: 1208 Probabilidad
Keywords: Probabilidad
Issue Date: 2009
Publisher: 0932-5026
Journal: Statistical Papers 
Abstract: The conditional specification technique introduced by Arnold et al. (Conditional specification of statistical models. Springer series in statistics. Springer, New York, 1999) was used in Sarabia et al. (Astin Bull 34(1):85-98, 2004) to obtain bonus-malus premiums. The Poisson distribution for which the parameter is a function of the classical structure parameter was used and a new class of prior distributions appeared in a natural way. This model contains, as a particular case, the classical compound Poisson model. In the present paper, the Bayesian robustness of this new model is examined and found to be much more robust than in the classical model in Gómez et al. (Insur Math Econ 31:105-113, 2002). For the present study, the moment conditions on the prior distribution are required. Examples, with real data, are given to illustrate our ideas under the net and exponential premium principles.
URI: http://hdl.handle.net/10553/42892
ISSN: 0932-5026
DOI: 10.1007/s00362-007-0085-0
Source: Statistical Papers[ISSN 0932-5026],v. 50, p. 465-480
Appears in Collections:Artículos
Show full item record

SCOPUSTM   
Citations

1
checked on Nov 27, 2022

WEB OF SCIENCETM
Citations

1
checked on Nov 27, 2022

Page view(s)

9
checked on Jun 18, 2022

Google ScholarTM

Check

Altmetric


Share



Export metadata



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