BAYESIAN ANALYSIS OF THE COMPOUND COLLECTIVE MODEL; THE VARIANCE PREMIUM PRINCIPLE WITH EXPONENTIAL POISSON AND GAMMA-GAMMA DISTRIBUTIONS
A. Hernández-Bastida (),
Pilar Fernandez-Sanchez () and
E. Gómez-Deniz ()
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A. Hernández-Bastida: Departamento de Métodos Cuantitativos para la Economía y la Empresa. Universidad de Granada(Spain)
E. Gómez-Deniz: Department of Quantitative Methods in Economics, University of Las Palmas de G.C., Spain.
Authors registered in the RePEc Author Service: Hernández-Bastida Agustín ()
No 07/02, FEG Working Paper Series from Faculty of Economics and Business (University of Granada)
The distribution of the aggregate claim size is the considerable importance in insurance theory since, for example, it is needed as an input in premium calculation principles and reserve calculation which plays an important paper in ruin theory. In this paper a Bayesian study for the collective risk model by incorporating a prior distribution for both, the parameter of the claim number distribution and the parameter of the claim size distribution is made and applied to the variance premium principle. Later a sensitivity study is to carry out on both parameters using Bayesian global robustness. Despite the complicated form of the collective risk model it is shown how the robustness study can be treated in an easy way. We illustrate the results obtained with numerical examples.
Keywords: Bayesian Robustness; Contamination Class; Variance Principle. (search for similar items in EconPapers)
JEL-codes: C11 G22 (search for similar items in EconPapers)
Pages: 32 pages
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Persistent link: https://EconPapers.repec.org/RePEc:gra:fegper:07/02
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