The Esscher premium principle in risk theory: A Bayesian sensitivity study
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Publication:1974036
DOI10.1016/S0167-6687(99)00018-9zbMATH Open0944.62094MaRDI QIDQ1974036FDOQ1974036
Authors: Emilio Gómez-Déniz, A. Hernández-Bastida, F. J. Vázquez-Polo 
Publication date: 8 May 2000
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
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Cites Work
- Statistical decision theory and Bayesian analysis. 2nd ed
- An overview of robust Bayesian analysis. (With discussion)
- Decision theoretic foundations of credibility theory
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- Ranges of posterior measures for priors with unimodal contaminations
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- Range of posterior measures for priors with arbitrary contaminations
- Sensitivity of some posterior summaries when the prior is unimodal with specified quantiles
- A gamma-minimax result in credibility theory
- Sensitivity in Bayesian Statistics: The Prior and the Likelihood
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Cited In (12)
- A study of Bayesian local robustness with applications in actuarial statistics
- The credibility premiums based on estimated moment-generating function
- Robust Bayesian methodology with applications in credibility premium derivation and future claim size prediction
- Bayes, E-Bayes and robust Bayes premium estimation and prediction under the squared log error loss function
- Measuring sensitivity in a bonus-malus system.
- Testing for random effects in compound risk models via Bregman divergence
- Exact credibility reference Bayesian premiums
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- Deriving robust Bayesian premiums under bands of prior distributions with applications
- Principal Applications of Bayesian Methods in Actuarial Science
- Hierarchical Bayesian collective risk model: an application to health insurance
- On the consistency of credibility premiums regarding Esscher principle
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