Loss robustness via Fisher-weighted squared-error loss function

DOI10.1016/0167-6687(94)00022-7MaRDI QIDQ1902620zbMATH OpenOpenAlexWikidataFDO

Authors Udi E. Makov

Publication date 6 May 1996

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

Full work available at URL https://doi.org/10.1016/0167-6687(94)00022-7

zbMATH Keywords

gamma distributionrisk robustnessFisher-weighted squared-error lossmeasures of loss robustnessposterior loss robustness

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10)

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Cites work

• scientific article; zbMATH DE number 3288321 (Why is no real title available?)
• A General Concept of Unbiasedness
• A Simple Method for Improving some Estimators
• A class of situations in which a sequential estimation procedure is non-sequential
• Decision theoretic foundations of credibility theory
• Natural exponential families with quadratic variance functions
• PLU Robust Bayesian Decision Theory: Point Estimation
• Robust Bayesian analysis: sensitivity to the prior
• Some aspects of Bayesian loss-robustness
• Statistical decision theory and Bayesian analysis. 2nd ed

Cited in

(10)

• A Tunable Loss Function for Robust Classification: Calibration, Landscape, and Generalization
• Bounds for Ratios of Posterior Expectations: Applications in the Collective Risk Model
• A general guide in Bayesian and robust Bayesian estimation using Dirichlet processes
• On Measuring Loss Robustness Using Maximum A Posteriori Estimate
• A note on computing bonus-malus insurance premiums using a hierarchical Bayesian framework
• Deriving robust Bayesian premiums under bands of prior distributions with applications
• Bayesian and robust Bayesian analysis in a general setting
• On the use of posterior regret \(\Gamma\)-minimax actions to obtain credibility premiums
• Modelling uncertainty in insurance Bonus–Malus premium principles by using a Bayesian robustness approach
• Allelic frequency estimation in presence of uncertain priors

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