Measuring sensitivity in a bonus–malus system
نویسندگان
چکیده
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. δ = E[λπ(λ|data)]/E[λπ(λ)], π ∈ Γ . We illustrate our method with data from [Astin Bulletin 10 (3) (1979) 274]. © 2002 Elsevier Science B.V. All rights reserved. JEL classification: C11
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