Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42953
Title: On the use of posterior regret Gamma-minimax actions to obtain credibility premiums
Authors: Gómez Déniz, Emilio 
Pérez Sánchez, José María 
Vázquez-Polo, Francisco J. 
UNESCO Clasification: 1209 Estadística
Keywords: Métodos bayesianos
Distribución
Issue Date: 2006
Publisher: 0167-6687
Journal: Insurance: Mathematics and Economics 
Abstract: Computing premiums in a Bayesian context requires the use of a prior distribution that the unknown risk parameter follows in the heterogeneous portfolio. Following the methodology that an actuary only has vague information about this parameter and therefore is unable to specify a simple prior, we choose a class Γ of priors and compute posterior regret Γ-minimax premiums which can be written, under appropriate likelihoods and priors, as a credibility formula.
URI: http://hdl.handle.net/10553/42953
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2006.01.007
Source: Insurance: Mathematics and Economics[ISSN 0167-6687],v. 39(1), p. 115-121
Appears in Collections:Artículos
Show full item record

SCOPUSTM   
Citations

12
checked on Nov 27, 2022

WEB OF SCIENCETM
Citations

11
checked on Nov 27, 2022

Page view(s)

28
checked on Oct 22, 2022

Google ScholarTM

Check

Altmetric


Share



Export metadata



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