Volume 13, Issue 3 (11-2013)
2013, 13(3): 843-860 |
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Nematollahi N, Kiapour A. Robust Bayesian Analysis and its Application in Estimation of Premium. Journal title 2013; 13 (3) :843-860
URL: http://jsci.khu.ac.ir/article-1-1643-en.html
URL: http://jsci.khu.ac.ir/article-1-1643-en.html
1- Associate Prof./Department of Statistics, Allameh Tabataba'i University
2- Assistant Prof./Department of Statistics, Babol Branch, Islamic Azad University
2- Assistant Prof./Department of Statistics, Babol Branch, Islamic Azad University
Abstract: (5704 Views)
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.
Keywords: Class of prior ditributions, Gamma distribution, Prediction of claim size, Robust Bayesian premium
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