|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
|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|
|Appears in Collections:||Artículos|
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