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

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Minimax procedures in statistical decision theory (62C20)

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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