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On the use of posterior regret [Gamma]-minimax actions to obtain credibility premiums

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  • Gomez-Deniz, E.
  • Perez-Sanchez, J.M.
  • Vazquez-Polo, F.J.

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  • Gomez-Deniz, E. & Perez-Sanchez, J.M. & Vazquez-Polo, F.J., 2006. "On the use of posterior regret [Gamma]-minimax actions to obtain credibility premiums," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 115-121, August.
    • Handle: RePEc:eee:insuma:v:39:y:2006:i:1:p:115-121
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    References listed on IDEAS

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    1. James Berger & Elías Moreno & Luis Pericchi & M. Bayarri & José Bernardo & Juan Cano & Julián Horra & Jacinto Martín & David Ríos-Insúa & Bruno Betrò & A. Dasgupta & Paul Gustafson & Larry Wasserman &, 1994. "An overview of robust Bayesian analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 3(1), pages 5-124, June.
    2. Makov, Udi E., 1995. "Loss robustness via Fisher-weighted squared-error loss function," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 1-6, April.
    3. Eichenauer, Jurgen & Lehn, Jurgen & Rettig, Stefan, 1988. "A gamma-minimax result in credibility theory," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 49-57, January.
    4. Heilmann, Wolf-Rudiger, 1989. "Decision theoretic foundations of credibility theory," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 77-95, March.
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