ROBUST BAYESIAN ANALYSIS AND ITS APPLICATION IN ESTIMATION OF PREMIUM

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NEMATOLLAHI NADER; KIAPOUR AZADEH

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Journal: JOURNAL OF SCIENCE (KHARAZMI UNIVERSITY) Year:2013 | Volume:13 | Issue:3 Page(s): 843-860

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Title

ROBUST BAYESIAN ANALYSIS AND ITS APPLICATION IN ESTIMATION OF PREMIUM

Author(s)

NEMATOLLAHI NADER | KIAPOUR AZADEH | Issue Writer Certificate

Keywords

CLASS OF PRIOR DITRIBUTIONSQ2

GAMMA DISTRIBUTIONQ2

PREDICTION OF CLAIM SIZEQ2

ROBUST BAYESIAN PREMIUMQ2

Abstract

In the Bayesian framework, robust Bayesian methods concern on estimation of unknown parameters, or prediction of future observation, by specifying a class of priors instead of a single prior. Robust Bayesian methods have been used extensively in actuarial sciences for estimation of premium and prediction of future claim size. In this paper we consider robust Bayes estimation of premium and prediction of future claim size under two classes of prior distribution and under the scale invariant squared error loss function. Finally, by a simulation study and using prequential analysis, we compare the obtained robust Bayes estimators of future claim size.

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APA: Copy

NEMATOLLAHI, NADER, & KIAPOUR, AZADEH. (2013). ROBUST BAYESIAN ANALYSIS AND ITS APPLICATION IN ESTIMATION OF PREMIUM. JOURNAL OF SCIENCE (KHARAZMI UNIVERSITY), 13(3), 843-860. SID. https://sid.ir/paper/43897/en

Vancouver: Copy

NEMATOLLAHI NADER, KIAPOUR AZADEH. ROBUST BAYESIAN ANALYSIS AND ITS APPLICATION IN ESTIMATION OF PREMIUM. JOURNAL OF SCIENCE (KHARAZMI UNIVERSITY)[Internet]. 2013;13(3):843-860. Available from: https://sid.ir/paper/43897/en

IEEE: Copy

NADER NEMATOLLAHI, and AZADEH KIAPOUR, “ROBUST BAYESIAN ANALYSIS AND ITS APPLICATION IN ESTIMATION OF PREMIUM,” JOURNAL OF SCIENCE (KHARAZMI UNIVERSITY), vol. 13, no. 3, pp. 843–860, 2013, [Online]. Available: https://sid.ir/paper/43897/en

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