Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42946
Title: Some Bayesian credibility premiums obtained by using posterior regret Γ-Minimax methodology
Authors: Gómez Déniz, Emilio 
UNESCO Clasification: 1209 Estadística
Keywords: Métodos bayesianos
Estadística
Issue Date: 2009
Publisher: 1936-0975
Journal: Bayesian Analysis 
Abstract: n credibility theory, the premium charged to a policyholder is com-puted on the basis of his/her own past claims and the accumulated past claims of the corresponding portfolio of policyholders. In order to obtain an appropriate formula for this, various methodologies have been proposed in actuarial literature, most of them in the field of Bayesian decision methodology. In this paper, following the robust Bayesian paradigm, a procedure based on the posterior regret Γ-minimax principle is applied to derive, in a straightforward way, new credibility formula, making use of simple classes of distributions. This methodology is applied to the most commonly used premium calculation principles in insurance, namely the net, Esscher and variance principles.
URI: http://hdl.handle.net/10553/42946
ISSN: 1936-0975
DOI: 10.1214/09-BA408
Source: Bayesian Analysis[ISSN 1936-0975],v. 4, p. 223-242
Appears in Collections:Artículos
Thumbnail
Adobe PDF (267,44 kB)
Show full item record

SCOPUSTM   
Citations

8
checked on Dec 4, 2022

WEB OF SCIENCETM
Citations

7
checked on Dec 4, 2022

Page view(s)

44
checked on Nov 5, 2022

Download(s)

324
checked on Nov 5, 2022

Google ScholarTM

Check

Altmetric


Share



Export metadata



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