Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42959
Title: The Esscher premium principle in risk theory: a Bayesian sensitivity study
Authors: Gómez Déniz, Emilio 
Hernández Bastida, A.
Vázquez Polo, Francisco José 
UNESCO Clasification: 1209 Estadística
Keywords: Riesgo
Métodos bayesianos
Issue Date: 1999
Publisher: 0167-6687
Journal: Insurance: Mathematics and Economics 
Conference: 2nd IME Conference 
Abstract: In this paper the Esscher premium calculation principle is applied to the non-compound collective model in a robust Bayesian context. We consider that uncertainty with regard to the prior distribution can be represented by the assumption that the unknown prior distribution belongs to a class of distributions Γ and examine the ranges of the Bayesian premium when the priors belong to such a class. The assessment of the influence of the prior is termed sensitivity analysis or robustness analysis.
URI: http://hdl.handle.net/10553/42959
ISSN: 0167-6687
DOI: 10.1016/S0167-6687(99)00018-9
Source: Insurance: Mathematics and Economics[ISSN 0167-6687],v. 25, p. 387-395
Appears in Collections:Artículos
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