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
Show full item record

SCOPUSTM   
Citations

14
checked on Mar 30, 2025

WEB OF SCIENCETM
Citations

12
checked on Mar 30, 2025

Page view(s)

35
checked on Jul 8, 2023

Google ScholarTM

Check

Altmetric


Share



Export metadata



Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.