A study of Bayesian local robustness with applications in actuarial statistics

Emilio Gomez-Deniz and Enrique Calderin-Ojeda

Journal of Applied Statistics, 2010, vol. 37, issue 9, 1537-1546

Abstract: Local or infinitesimal Bayesian robustness is a powerful tool to study the sensitivity of posterior magnitudes, which cannot be expressed in a simple manner. For these expressions, the global Bayesian robustness methodology does not seem adequate since the practitioner cannot avoid using inappropriate classes of prior distributions in order to make the model mathematically tractable. This situation occurs, for example, when we compute some types of premiums in actuarial statistics in order to fix the premium to be charged to an insurance policy. In this paper, analytical and simple expressions that allow us to study the sensitivity of premiums, which are usually used in automobile insurance are provided by using the local Bayesian robustness methodology. Some examples are examined by using real automobile claim insurance data.

Keywords: posterior; local robustness; norm; premium (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1080/02664760903082156

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