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The Esscher premium principle in risk theory: a Bayesian sensitivity study

✍ Scribed by E. Gómez-Déniz; A. Hernández-Bastida; F.J. Vázquez-Polo

Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 343 KB
Volume: 25
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(99)00018-9

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✦ Synopsis

In this paper the Esscher premium calculation principle is applied to the non-compound collective model in a robust Bayesian context. We consider that uncertainty with regard to the prior distribution can be represented by the assumption that the unknown prior distribution belongs to a class of distributions and examine the ranges of the Bayesian premium when the priors belong to such a class. The assessment of the influence of the prior is termed sensitivity analysis or robustness analysis.

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