Collective risk model: Poisson–Lindley and exponential distributions for Bayes premium and operational risk

DOI10.1080/00949650903486609zbMath1221.62013OpenAlexW2022951568MaRDI QIDQ3019827

Emilio Gómez-Déniz, Agustín Hernández-Bastida, M. P. Fernández-Sánchez

Publication date: 29 July 2011

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650903486609

zbMATH Keywords

collective risk modelPoisson-Lindley distributionoperational riskBayes premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10)

Related Items (6)

Bayesian modelling of health insurance losses ⋮ Adding a parameter to the exponential and Weibull distributions with applications ⋮ A new R package for actuarial survival models ⋮ The Log-Lindley distribution as an alternative to the beta regression model with applications in insurance ⋮ Optimal lot disposition from Poisson-Lindley count data ⋮ A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model

Uses Software

• Mathematica
• QRM

Cites Work

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• On modeling count data: a comparison of some well-known discrete distributions
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• Statistical decision theory and Bayesian analysis. 2nd ed
• Decision theoretic foundations of credibility theory
• Bayesian models in actuarial mathematics
• A note on experience rating, reinsurance and premium principles
• A mixed bivariate distribution with exponential and geometric marginals
• Bayesian robustness of the compound Poisson distribution under bidimensional prior: an application to the collective risk model
• Mixed Poisson Distributions
• Compound mixed Poisson distributions I
• Compound Mixed Poisson Distributions II
• Estimation methods for the discrete Poisson–Lindley distribution
• Solvency

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