A desirable aspect in the variance premium in a collective risk model
Metadatos
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Asociación de Economía Aplicada
Materia
Bayes Modelo colectivo de riesgo Principio de Varianza Prima colectiva Prima Bayes Contaminación Collective risk model Variance Principle Collective Premium Bayes Premium Contamination
Date
2011Referencia bibliográfica
Hernández-Bastida, A.; Fernández-Sánchez, P.; Gómez-Déniz, E. A desirable aspect in the variance premium in a collective risk model. Estudios de Economía Aplicada, 29(1): 1-18 (2011). [http://hdl.handle.net/10481/29609]
Patrocinador
AHB and EGD thank the Spanish Ministry of Education and Science (project ECO-2009-14152) for partial support of this study.Résumé
This paper focuses on the study of the Collective and Bayes Premiums, under the Variance Premium Principle, in the
classic Collective Risk Poisson-Exponential Model. A bivariate prior distribution is considered for both the parameter
of the distribution of the number of claims and that of the distribution of the claim amount, assuming independence
between these parameters. Furthermore, we analyze the consequences on these premiums of small levels of
contamination in the structure functions, and find that the premiums are not sensitive to small levels of uncertainty.
These results extend the conclusions obtained in Gómez-Déniz et al. (2000), where only variations in the parameter
for the number of claims and its effects on premiums were studied. En este trabajo se estudia un modelo colectivo de riesgo con distribución primaria una distribución de Poisson y
distribución secundaria una distribución Exponencial con perfiles de riesgo (los parámetros de las anteriores
distribuciones) independientes. Se calculan la Prima Colectiva y la Prima Bayes y se analiza el rango de variación de
las Primas indicadas frente a contaminaciones en las funciones estructura (distribuciones a priori). Los resultados aquí
obtenidos extienden los de Gómez-Déniz et al (2000), donde se consideraba un modelo solo para la variable número
de reclamaciones.