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Kiapour A. Bayes, E-Bayes and Robust Bayes Premium Estimation and Prediction under the Squared Log Error Loss Function. JIRSS. 2017; 18 (1)
URL: http://jirss.irstat.ir/article-1-395-fa.html
Bayes, E-Bayes and Robust Bayes Premium Estimation and Prediction under the Squared Log Error Loss Function. پژوهشنامه انجمن آمار ایران. 1396; 18 (1)

URL: http://jirss.irstat.ir/article-1-395-fa.html


چکیده:   (425 مشاهده)

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.

     
نوع مطالعه: Original Paper | موضوع مقاله: 62Exx: Distribution theory
دریافت: ۱۳۹۵/۹/۳ | پذیرش: ۱۳۹۶/۵/۳۱ | انتشار: ۱۳۹۶/۵/۳۱

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