Bayesian premium and asymptotic approximation for a class of loss functions

MaRDI QIDQ5458786zbMATH OpenFDO

Authors Roxana Ciumara

Publication date 23 April 2008

zbMATH Keywords

Laplace approximationweighted quadratic loss functionsexponentially scaled loss functions

Mathematics Subject Classification ID

Bayesian inference (62F15) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(4)

• Global approximation to arbitrary cost functions: a Bayesian approach with application to US banking
• Calculation of Bayes premium for conditional elliptical risks
• Asymptotic Bayes risks for a general class of losses
• An Accurate Asymptotic Approximation for Experience Rated Premiums

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