Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42938
Title: Collective risk model: Poisson-Lindley and exponential distributions for Bayes premium and operational risk
Authors: Hernández Bastida, A.
Fernández Sánchez, M. P.
Gómez Déniz, Emilio 
UNESCO Clasification: 1209 Estadística
Keywords: Riesgo
Métodos bayesianos
Issue Date: 2011
Publisher: 0094-9655
Journal: Journal of Statistical Computation and Simulation 
Abstract: In this paper the collective risk model with Poisson-Lindley and exponential distributions as the primary and secondary distributions, respectively, is developed in a detailed way. It is applied to determine the Bayes premium used in actuarial science and also to compute the regulatory capital in the analysis of operational risk. The results are illustrated with numerous examples and compared with other approaches proposed in the literature for these questions, with considerable differences being observed.
URI: http://hdl.handle.net/10553/42938
ISSN: 0094-9655
DOI: 10.1080/00949650903486609
Source: Journal of Statistical Computation and Simulation[ISSN 0094-9655],v. 81, p. 759-778
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