A gamma-minimax result in credibility theory

DOI10.1016/0167-6687(88)90096-0zbMath0639.62089OpenAlexW2043054422MaRDI QIDQ1099916

Jürgen Lehn, Stefan Rettig, Jürgen Eichenauer-Herrmann

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90096-0

zbMATH Keywords

squared error lossmoment restrictionspremium calculation principlesBayes principlecredibility formulaegamma distributed risk performancesgamma-minimax principlevague prior information

Mathematics Subject Classification ID

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

Related Items (13)

Bounds for Ratios of Posterior Expectations: Applications in the Collective Risk Model ⋮ Loss prediction based on run-off triangles ⋮ Unnamed Item ⋮ Exact credibility reference Bayesian premiums ⋮ A note on computing bonus-malus insurance premiums using a hierarchical Bayesian framework ⋮ Stochastische Modellierung in der Erfahrungstarifierung ⋮ DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS ⋮ TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE ⋮ The Esscher premium principle in risk theory: A Bayesian sensitivity study ⋮ 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 ⋮ A generalization of the credibility theory obtained by using the weighted balanced loss function ⋮ Decision theoretic foundations of credibility theory

Cites Work

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• Statistical decision theory and Bayesian analysis. 2nd ed
• Einheitliche Prinzipien für die Beurteilung statistischer Verfahren
• Minimax credibility
• Subjektive Wahrscheinlichkeit und multisubjektive Tests
• The Empirical Bayes Approach to Statistical Decision Problems
• The use of Previous Experience in Reaching Statistical Decisions

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