The Esscher premium principle in risk theory : a Bayesian sensitivity study

@inproceedings{GmezDniza1999TheEP,
  title={The Esscher premium principle in risk theory : a Bayesian sensitivity study},
  author={E. G{\'o}mez-D{\'e}niza and A. Hern{\'a}ndez-Bastidab and F. J. V{\'a}zquez-Poloa},
  year={1999}
}
  • E. Gómez-Déniza, A. Hernández-Bastidab, F. J. Vázquez-Poloa
  • Published 1999
In this paper the Esscher premium calculation principle is applied to the non-compound collective model in a robust Bayesian context. We consider that uncertainty with regard to the prior distribution can be represented by the assumption that the unknown prior distribution belongs to a class of distributions 0 and examine the ranges of the Bayesian premium when the priors belong to such a class. The assessment of the influence of the prior is termed sensitivity analysis or robustness analysis… CONTINUE READING

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