Measuring sensitivity in a bonus-malus system

被引：21

作者：

Gómez, E

Hernández, A

Pérez, JM

Vázquez-Polo, FJ

机构：

[1] Univ Las Palmas GC, Dept Quantitat Methods, Las Palmas Gran Canaria 35017, Spain

[2] Univ Granada, Dept Appl Econ, Granada 18011, Spain

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2002年 / 31卷 / 01期

关键词：

bonus-malus; Bayesian robustness; epsilon-contammation class;

D O I：

10.1016/S0167-6687(02)00125-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In performing Bayesian analysis of a bonus-malus system (BMS) it is normal to choose a parametric structure, 70(.), in the insurer's portfolio. According to Bayesian sensitivity analysis the structure function can be modelled by specifying a class F of priors instead of a single prior. In this paper, we examine the ranges of the relativities, i.e. delta(pi) = E[lambdapi (lambda\data)/E[lambdapi(lambda)], pi is an element of Gamma. We illustrate our method with data from [Astin Bulletin 10 (3) (1979) 274]. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：105 / 113

页数：9

共 17 条

[1]

[Anonymous], ASTIN BULL

[2]

BERGER J. O., 2013, Statistical Decision Theory and Bayesian Analysis, DOI [10.1007/978-1-4757-4286-2, DOI 10.1007/978-1-4757-4286-2]

[3] ROBUST BAYESIAN-ANALYSIS UNDER GENERALIZED MOMENTS CONDITIONS [J].