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http://hdl.handle.net/10553/48780
| Título: | Measuring sensitivity in a bonus-malus system | Autores/as: | Gómez, E. Hernández, A. Pérez, J. M. Vázquez-Polo, Francisco José |
Palabras clave: | Robust Bayesian-Analysis Posterior Measures Moments Ranges Priors |
Fecha de publicación: | 2002 | Editor/a: | 0167-6687 | Publicación seriada: | Insurance: Mathematics and Economics | Conferencia: | 5th International Congress on Insurance Mathematics and Economics | Resumen: | 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 | Fuente: | Insurance: Mathematics and Economics[ISSN 0167-6687],v. 31, p. 105-113 |
| Colección: | Artículos |
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