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Title: | Modelling uncertainty in insurance Bonus-Malus premium principles by using a Bayesian robustness approach | Authors: | Gómez Déniz, Emilio Vázquez Polo, Francisco José |
UNESCO Clasification: | 1209 Estadística | Keywords: | Métodos bayesianos Seguros |
Issue Date: | 2005 | Publisher: | 0266-4763 | Journal: | Journal of Applied Statistics | Abstract: | In a standard Bayesian model, a prior distribution is elicited for the structure parameter in order to obtain an estimate of this unknown parameter. The hierarchical model is a two way Bayesian one which incorporates a hyperprior distribution for some of the hyperparameters of the prior. In this way and under the Poisson-Gamma-Gamma model, a new distribution is obtained by computing the unconditional distribution of the random variable of interest. This distribution seems to provide a better fit to the data, given a policyholders' portfolio. Furthermore, Bayes premiums are thus obtained under a bonus-malus system and solve some of the problems of surcharges which appear in these systems when they are applied in a simple manner. | URI: | http://hdl.handle.net/10553/42955 | ISSN: | 0266-4763 | DOI: | 10.1080/02664760500079746 | Source: | Journal of Applied Statistics[ISSN 0266-4763],v. 32, p. 771-784 |
Appears in Collections: | Artículos |
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