The Esscher premium principle in risk theory: A Bayesian sensitivity study

DOI10.1016/S0167-6687(99)00018-9zbMath0944.62094MaRDI QIDQ1974036

Agustín Hernández-Bastida, Emilio Gómez-Déniz, Francisco José Vázquez Polo

Publication date: 8 May 2000

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

zbMATH Keywords

Bayesian robustnessepsilon-contamination classEsscher premium principle

Mathematics Subject Classification ID

Related Items (9)

Robust Bayesian methodology with applications in credibility premium derivation and future claim size prediction ⋮ Exact credibility reference Bayesian premiums ⋮ Measuring sensitivity in a bonus-malus system. ⋮ The credibility premiums based on estimated moment-generating function ⋮ DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS ⋮ TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE ⋮ On the consistency of credibility premiums regarding Esscher principle ⋮ Principal Applications of Bayesian Methods in Actuarial Science ⋮ Hierarchical Bayesian collective risk model: an application to health insurance

Cites Work

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• Ranges of posterior measures for priors with unimodal contaminations
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• Decision theoretic foundations of credibility theory
• An overview of robust Bayesian analysis. (With discussion)
• Sensitivity in Bayesian Statistics: The Prior and the Likelihood
• Range of posterior measures for priors with arbitrary contaminations
• Sensitivity of some posterior summaries when the prior is unimodal with specified quantiles

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