Posterior Regret Γ-Minimax Estimation of Insurance Premium in Collective Risk Model

DOI10.2143/AST.38.1.2030414zbMath1169.91383OpenAlexW4243995941MaRDI QIDQ3395774

Agata Boratyńska

Publication date: 13 September 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.1.2030414

zbMATH Keywords

Bayesian modelposterior regretinsurance premiumsquare error lossclasses of priorsLINEX

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Estimation and detection in stochastic control theory (93E10)

Related Items (7)

Robust Bayesian methodology with applications in credibility premium derivation and future claim size prediction ⋮ Bayesian parameter learning with an application ⋮ Exact credibility reference Bayesian premiums ⋮ Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ Optimal rules and robust Bayes estimation of a gamma scale parameter ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Bayesian and robust Bayesian analysis in a general setting

Cites Work

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• Ranges of posterior measures for priors with unimodal contaminations
• An overview of robust Bayesian analysis. (With discussion)
• Range of posterior measures for priors with arbitrary contaminations
• Posterior regret Γ-minimax estimation in a normal model with asymmetric loss function
• Robust Bayesian estimation with asymmetric loss function

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