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

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

Mathematics and Computers in Simulation (MATCOM), 2012, vol. 82, issue 8, 1419-1431

Abstract: This paper examines a compound collective risk model in which the primary distribution comprised the Poisson–Lindley distribution with a λ parameter, and where the secondary distribution is an exponential one with a θ parameter. We consider the case of dependence between risk profiles (i.e., the parameters λ and θ), where the dependence is modelled by a Farlie–Gumbel–Morgenstern family. We analyze the consequences of the dependence on the Bayes premium. We conclude that the consequences of the dependence on the Bayes premium may vary considerably.

Keywords: Bayesian analysis; Bayes premium; Farlie–Gumbel–Morgenstern distributions; Poisson–Lindley distribution; Risk profile dependence (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:82:y:2012:i:8:p:1419-1431

DOI: 10.1016/j.matcom.2012.01.003

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