Deriving robust Bayesian premiums under bands of prior distributions with applications

DOI10.1017/ASB.2018.36zbMATH Open1415.62081OpenAlexW2901140483WikidataQ128903763 ScholiaQ128903763MaRDI QIDQ4629475FDOQ4629475

Authors: Marta Sánchez-Sánchez, Miguel A. Sordo, Alfonso Suárez-Llorens, Emilio Gómez-Déniz 

Publication date: 27 March 2019

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2018.36

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zbMATH Keywords

stochastic orderscredibilityrobust Bayesian analysisclass of priorsdistortion functionspremium calculation principleKolmogorov and Kantorovich metrics

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)

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Cited In (5)

• Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves
• Robust Bayesian methodology with applications in credibility premium derivation and future claim size prediction
• Testing for random effects in compound risk models via Bregman divergence
• Exact credibility reference Bayesian premiums
• On a new class of multivariate prior distributions: theory and application in reliability

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