A.Hernández-Bastida () (Departamento de Métodos Cuantitativos para la Economía y la Empresa. Universidad de Granada(Spain)) J. M. Pérez–Sánchez () (Departamento de Métodos Cuantitativos para la Economía y la Empresa. Universidad de Granada(Spain)) E. Gómez-Deniz () (Department of Quantitative Methods in Economics, University of Las Palmas de G.C., Spain.)
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This article develops a Bayesian analysis of the Compound Collective Model utilizing the Net Premium Principle, considering single-period models. With respect to likelihoods, we used a Poisson distribution for the number of claims and an Exponential distribution for the severity of the accident/event. Gamma distributions were used for the prior distributions. The robustness of the posterior premium was analyzed with respect to the prior distribution specification of the severity of the accident/event, utilizing contamination classes, these being the class of all the distributions and that of all the unimodal distributions with the same mode. Numerical applications of the results obtained were performed.
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Paper provided by Faculty of Economics and Business (University of Granada) in its series FEG Working Paper Series with number
07/03.
Find related papers by JEL classification: C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
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