Journal
JIRSS-JOURNAL OF THE IRANIAN STATISTICAL SOCIETY
Volume 17, Issue 1, Pages 33-47Publisher
IRANIAN STATISTICAL SOC
DOI: 10.29252/jirss.17.1.33
Keywords
Bayes premium; Class of priors; E-Bayes premium; Exponential distribution; Robust Bayes premium
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In risk analysis based on Bayesian framework, premium calculation requires specification of a prior distribution for the risk parameter in the heterogeneous portfolio. When the prior knowledge is vague, the E-Bayesian and robust Bayesian analysis can be used to handle the uncertainty in specifying the prior distribution by considering a class of priors instead of a single prior. In this paper, we study the E-Bayes and robust Bayes premium estimation and prediction in exponential model under the squared log error loss function. A prequential analysis in a simulation study is carried out to compare the proposed predictors. Finally, a real data example is included for illustrating the results.
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