The Esscher premium principle in risk theory : a Bayesian sensitivity study
نویسندگان
چکیده
In this paper the Esscher premium calculation principle is applied to the non-compound collective model in a robust Bayesian context. We consider that uncertainty with regard to the prior distribution can be represented by the assumption that the unknown prior distribution belongs to a class of distributions 0 and examine the ranges of the Bayesian premium when the priors belong to such a class. The assessment of the influence of the prior is termed sensitivity analysis or robustness analysis. ©1999 Elsevier Science B.V. All rights reserved. JEL classification: C11
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