Measuring sensitivity in a bonus-malus system.

DOI10.1016/S0167-6687(02)00125-7zbMath1037.62110OpenAlexW2012132860MaRDI QIDQ1394967

D. Massart

Publication date: 25 June 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00125-7

zbMATH Keywords

tablesBayesian robustnessbonus-malus\(\varepsilon\)-contamination class

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (13)

Robust Bayesian bonus-malus premiums under the conditional specification model ⋮ Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ Bonus-Malus Systems with Two-Component Mixture Models Arising from Different Parametric Families ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ A note on computing bonus-malus insurance premiums using a hierarchical Bayesian framework ⋮ Bivariate Mixed Poisson Regression Models with Varying Dispersion ⋮ DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS ⋮ TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE ⋮ ON THE AGGREGATION OF EXPERTS' INFORMATION IN BONUS–MALUS SYSTEMS ⋮ Modelling uncertainty in insurance Bonus–Malus premium principles by using a Bayesian robustness approach ⋮ On the use of posterior regret \(\Gamma\)-minimax actions to obtain credibility premiums ⋮ Using a Bayesian Hierarchical Model for Fitting Automobile Claim Frequency Data ⋮ A Simple Method to Study Sensitivity of BMP's

Cites Work

• Ranges of posterior measures for priors with unimodal contaminations
• Statistical decision theory and Bayesian analysis. 2nd ed
• Bounds on posterior expectations for density bounded class with constant bandwidth. (With discussion)
• Robust Bayesian analysis under generalized moments conditions
• On the robustness of premium principles
• The Esscher premium principle in risk theory: A Bayesian sensitivity study
• An Approach to Robust Bayesian Analysis for Multidimensional Parameter Spaces
• Ranges of Posterior Measures for Some Classes of Priors with Specified Moments
• Sensitivity of some posterior summaries when the prior is unimodal with specified quantiles

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