Deriving robust bayesian premiums under bands of prior distributions with applications

A. Suárez Llorens, M. Sánchez Sánchez, M. Á. Sordo Díaz, E. Gómez Déniz

We study the propagation of uncertainty from a class of priors introduced by Arias-Nicolás et al. [(2016) Bayesian Analysis, 11(4), 1107–1136] to the premiums (both the collective and the Bayesian), for a wide family of premium principles (specifically, those that preserve the likelihood ratio order). The class under study reflects the prior uncertainty using distortion functions and
fulfills some desirable requirements: elicitation is easy, the prior uncertainty can be measured by different metrics, and the range of quantities of interest is easily obtained from the extremal members of the class. We illustrate the methodology with several examples based on different claim counts models.

Palabras clave: Class of priors, distortion functions, Kolmogorov and Kantorovich metrics, premium calculation principle, robust Bayesian analysis, stochastic orders.

GT12-2 Ordenaciones estocásticas y sus aplicaciones
6 de septiembre de 2019  09:30
I2L5. Edificio Georgina Blanes

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N. Torrado

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