On the use of posterior regret \(\Gamma\)-minimax actions to obtain credibility premiums

DOI10.1016/j.insmatheco.2006.01.007zbMath1097.62114OpenAlexW2075560631MaRDI QIDQ2507615

José M. Pérez-Sánchez, Emilio Gómez-Déniz, Francisco José Vázquez Polo

Publication date: 5 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.01.007

zbMATH Keywords

Bayesian methodologyclasses of prior distributionsposterior regret \(\Gamma\)-minimax

Mathematics Subject Classification ID

Related Items (9)

Robust Bayesian methodology with applications in credibility premium derivation and future claim size prediction ⋮ Unnamed Item ⋮ Bayesian robustness of the compound Poisson distribution under bidimensional prior: an application to the collective risk model ⋮ Exact credibility reference Bayesian premiums ⋮ Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Credibility Estimation of Distribution Functions with Applications to Experience Rating in General Insurance ⋮ TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE ⋮ A generalization of the credibility theory obtained by using the weighted balanced loss function

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• Bayesian Forecasting for Accident Proneness Evaluation
• On Bayesian inference with incompletely specified prior distributions
• Γ-Minimax: A Paradigm for Conservative Robust Bayesians
• Robust Bayesian analysis

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