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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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