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)

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