Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/42946
Título: Some Bayesian credibility premiums obtained by using posterior regret Γ-Minimax methodology
Autores/as: Gómez Déniz, Emilio 
Clasificación UNESCO: 1209 Estadística
Palabras clave: Métodos bayesianos
Estadística
Fecha de publicación: 2009
Editor/a: 1936-0975
Publicación seriada: Bayesian Analysis 
Resumen: 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
Fuente: Bayesian Analysis[ISSN 1936-0975],v. 4, p. 223-242
Colección:Artículos
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