On the independence between risk profiles in the compound collective risk actuarial model

DOI10.1016/J.MATCOM.2012.01.003zbMATH Open1306.91082OpenAlexW2059172080MaRDI QIDQ449658FDOQ449658

Authors: M. Martel-Escobar, A. Hernández-Bastida, F. J. Vázquez-Polo 

Publication date: 31 August 2012

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2012.01.003

Recommendations

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zbMATH Keywords

Bayesian analysisPoisson-Lindley distributionBayes premiumFarlie-Gumbel-Morgenstern distributionsrisk profile dependence

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (8)

• A Sarmanov family with beta and gamma marginal distributions: an application to the Bayes premium in a collective risk model
• The net Bayes premium with dependence between the risk profiles
• Complementary information for skewness measures
• Exchangeable claim sizes in a compound Poisson-type process
• Collective risk model: Poisson-Lindley and exponential distributions for Bayes premium and operational risk
• Bayes premium under variance-related principles with risk dependence
• Bayesian robustness of the compound Poisson distribution under bidimensional prior: an application to the collective risk model
• Compound Poisson-Lindley process with sarmanov dependence structure and its application for premium-based spectral risk forecasting

Uses Software

• QRM

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