Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function

DOI10.1016/j.insmatheco.2017.07.007zbMath1395.62321OpenAlexW2739625950WikidataQ115571847 ScholiaQ115571847MaRDI QIDQ2404549

Agata Boratyńska

Publication date: 19 September 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.07.007

zbMATH Keywords

mean square errorclasses of priors\(\varepsilon\)-contaminationloss reserveschain ladder factorexponential model with quadratic variance functionposterior regret \(\Gamma\)-minimax estimation and prediction

Mathematics Subject Classification ID

Related Items (6)

Exact credibility reference Bayesian premiums ⋮ Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS ⋮ TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE ⋮ The Bühlmann-Straub estimation of claim means in random B-F reserve model ⋮ Robust Bayesian estimator in a normal model with uncertain hierarchical priors

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