Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/47675
Title: On the independence between risk profiles in the compound collective risk actuarial model
Authors: Martel Escobar, María Carmen 
Hernández Bastida, A.
Vázquez Polo, Francisco José 
UNESCO Clasification: 530202 Modelos econométricos
Keywords: Estadística bayesiana
Modelos actuariales
Issue Date: 2012
Publisher: 0378-4754
Journal: Mathematics and Computers in Simulation 
Abstract: This paper examines a compound collective risk model in which the primary distribution comprised the Poisson-Lindley distribution with a λ parameter, and where the secondary distribution is an exponential one with a θ parameter. We consider the case of dependence between risk profiles (i.e., the parameters λ and θ), where the dependence is modelled by a Farlie-Gumbel-Morgenstern family. We analyze the consequences of the dependence on the Bayes premium. We conclude that the consequences of the dependence on the Bayes premium may vary considerably.
URI: http://hdl.handle.net/10553/47675
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2012.01.003
Source: Mathematics and Computers in Simulation[ISSN 0378-4754],v. 82, p. 1419-1431
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