BAYESIAN ANALYSIS OF THE COMPOUND COLLECTIVE MODEL: THE NET PREMIUM PRINCIPLE WITH EXPONENTIAL POISSON AND GAMMA–GAMMA DISTRIBUTIONS
A. Hernández-Bastida (),
J.m Pérez–Sánchez () 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)
J.m Pérez–Sánchez: 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: José M. Perez-Sanchez and
Hernández-Bastida Agustín ()
No 07/03, FEG Working Paper Series from Faculty of Economics and Business (University of Granada)
This article develops a Bayesian analysis of the Compound Collective Model utilizing the Net Premium Principle, considering single-period models. With respect to likelihoods, we used a Poisson distribution for the number of claims and an Exponential distribution for the severity of the accident/event. Gamma distributions were used for the prior distributions. The robustness of the posterior premium was analyzed with respect to the prior distribution specification of the severity of the accident/event, utilizing contamination classes, these being the class of all the distributions and that of all the unimodal distributions with the same mode. Numerical applications of the results obtained were performed.
Keywords: Compound collective model; Bayesian analysis; Robustness analysis. (search for similar items in EconPapers)
JEL-codes: C11 (search for similar items in EconPapers)
Pages: 18 pages
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Persistent link: https://EconPapers.repec.org/RePEc:gra:fegper:07/03
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