Measuring sensitivity in a bonus-malus system.

DOI10.1016/S0167-6687(02)00125-7MaRDI QIDQ1394967zbMATH OpenOpenAlexFDO

Authors D. Massart

Publication date 25 June 2003

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

Full work available at URL https://doi.org/10.1016/s0167-6687(02)00125-7

zbMATH Keywords

tablesBayesian robustnessbonus-malus\(\varepsilon\)-contamination class

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• An Approach to Robust Bayesian Analysis for Multidimensional Parameter Spaces
• Bounds on posterior expectations for density bounded class with constant bandwidth. (With discussion)
• On the robustness of premium principles
• Ranges of Posterior Measures for Some Classes of Priors with Specified Moments
• Ranges of posterior measures for priors with unimodal contaminations
• Robust Bayesian analysis under generalized moments conditions
• Sensitivity of some posterior summaries when the prior is unimodal with specified quantiles
• Statistical decision theory and Bayesian analysis. 2nd ed
• The Esscher premium principle in risk theory: A Bayesian sensitivity study

Cited in

(14)

• Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function
• 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
• Deriving robust Bayesian premiums under bands of prior distributions with applications
• Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves
• Testing for random effects in compound risk models via Bregman divergence
• Construction of rating systems using global sensitivity analysis: a numerical investigation
• Using a Bayesian Hierarchical Model for Fitting Automobile Claim Frequency Data
• A note on computing bonus-malus insurance premiums using a hierarchical Bayesian framework
• Bivariate Mixed Poisson Regression Models with Varying Dispersion
• On the aggregation of experts' information in bonus-malus systems
• Bonus-malus systems with two-component mixture models arising from different parametric families
• A Simple Method to Study Sensitivity of BMP's
• Robust Bayesian bonus-malus premiums under the conditional specification model

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