Author

• Azadeh Kiapour

Department of‎ ‎Statistics‎, Babol Branch, Islamic Azad University, Babol, ‎Iran

Abstract

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
 

Keywords

• Bayes ‎premium
• ‎ Class of ‎priors
• ‎ E-Bayes ‎premium
• ‎ Exponential ‎distribution
• ‎ Robust Bayes ‎premium