Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/47674
Title: An application of the Morgenstern family with standard two-sided power and gamma marginal distributions to the Bayes premium in the collective risk model
Authors: Hernández, A.
Pilar Fernández, M.
Martel Escobar, María Carmen 
Vázquez-Polo, Francisco J. 
UNESCO Clasification: 530204 Estadística económica
Keywords: Estadística bayesiana
Issue Date: 2013
Publisher: 1524-1904
Journal: Applied Stochastic Models in Business and Industry 
Abstract: The Bayes premium is a quantity of interest in the actuarial collective risk model, under which certain hypotheses are assumed. The usual assumption of independence among risk profiles is very convenient from a computational point of view but is not always realistic. Recently, several authors in the field of actuarial and operational risks have examined the incorporation of some dependence in their models. In this paper, we approach this topic by using and developing a Farlie-Gumbel-Morgenstern (FGM) family of prior distributions with specified marginals given by standard two-sided power and gamma distributions. An alternative Poisson-Lindley distribution is also used to model the count data as the number of claims. For the model considered, closed expressions of the main quantities of interest are obtained, which permit us to investigate the behavior of the Bayes premium under the dependence structure adopted (Farlie-Gumbel-Morgenstern) when the independence case is included.
URI: http://hdl.handle.net/10553/47674
ISSN: 1524-1904
DOI: 10.1002/asmb.1930
Source: Applied Stochastic Models in Business and Industry[ISSN 1524-1904],v. 29, p. 468-478
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