Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42958
Title: Bounds for ratios of posterior expectations: applications in the collective risk model
Authors: Gómez Déniz, Emilio 
Hernández Bastida, A.
Vázquez Polo, Francisco José 
UNESCO Clasification: 1209 Estadística
Keywords: Métodos bayesianos
Riesgo
Issue Date: 2002
Publisher: 0346-1238
Journal: Scandinavian Actuarial Journal 
Abstract: This paper considers the collective risk model for the insurance claims process. We will adopt a Bayesian point of view, where uncertainty concerning the specification of the prior distribution is a common question. The robust Bayesian approach uses a class of prior distributions which model uncertainty about the prior, instead of a single distribution. Relatively little research has dealt with robustness with respect to ratios of posterior expectations as occurs with the Esscher and Variance premium principles. Appropriate techniques are developed in this paper to solve this problem using the k -contamination class in the collective risk model.
URI: http://hdl.handle.net/10553/42958
ISSN: 0346-1238
DOI: 10.1080/03461230110106246
Source: Scandinavian Actuarial Journal[ISSN 0346-1238],v. 2002, p. 37-44
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