Title of article
Measuring sensitivity in a bonus–malus system
Author/Authors
Gَmez، نويسنده , , E. and Hernلndez، نويسنده , , A. and Pérez، نويسنده , , J.M. and Vلzquez-Polo، نويسنده , , F.J.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
9
From page
105
To page
113
Abstract
In performing Bayesian analysis of a bonus–malus system (BMS) it is normal to choose a parametric structure, π0(λ), in the insurer’s portfolio. According to Bayesian sensitivity analysis the structure function can be modelled by specifying a class Γ of priors instead of a single prior. In this paper, we examine the ranges of the relativities, i.e. δπ=E[λπ(λ|data)]/E[λπ(λ)], π∈Γ. We illustrate our method with data from [Astin Bulletin 10 (3) (1979) 274].
Keywords
Bonus–malus , Bayesian robustness , ?-Contamination class
Journal title
Insurance Mathematics and Economics
Serial Year
2002
Journal title
Insurance Mathematics and Economics
Record number
1542517
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