Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/48780
Title: Measuring sensitivity in a bonus-malus system
Authors: Gómez, E.
Hernández, A.
Pérez, J. M.
Vázquez-Polo, Francisco José 
Keywords: Robust Bayesian-Analysis
Posterior Measures
Moments
Ranges
Priors
Issue Date: 2002
Publisher: 0167-6687
Journal: Insurance: Mathematics and Economics 
Conference: 5th International Congress on Insurance Mathematics and Economics 
Abstract: In performing Bayesian analysis of a bonus-malus system (BMS) it is normal to choose a parametric structure, 70(.), in the insurer's portfolio. According to Bayesian sensitivity analysis the structure function can be modelled by specifying a class F of priors instead of a single prior. In this paper, we examine the ranges of the relativities, i.e. delta(pi) = E[lambdapi (lambda\data)/E[lambdapi(lambda)], pi is an element of Gamma. We illustrate our method with data from [Astin Bulletin 10 (3) (1979) 274]. (C) 2002 Elsevier Science B.V. All rights reserved.
URI: http://hdl.handle.net/10553/48780
ISSN: 0167-6687
DOI: 10.1016/S0167-6687(02)00125-7
Source: Insurance: Mathematics and Economics[ISSN 0167-6687],v. 31, p. 105-113
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