Bayesian Premium Estimators for Pareto Distribution in the Presence of Outliers

Document Type : Original Article

Authors
Rahele Mollaie
Mehdi Jabbari Nooghabi
Department of Statistics, Ferdowsi University of Mashhad, Mashhad-Iran
10.22034/jirss.2024.706593
Abstract
We assume the Pareto distribution in the presence of outliers based on the Dixit model. We consider the estimation of the Bayesian Premium under squared error loss function (symmetric), linear exponential, and entropy loss functions (asymmetric), using informative and non-informative priors. We use the Lindley approximation and Markov Chain Monte Carlo methods such as the importance sampling procedure for deriving results. Finally, the results are analyzed using simulation studies.
Keywords
Bayesian Premium
Pareto Distribution
Outliers
Non-informative Prior Distribution
Entropy
LINEX and Squared Error Loss
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Journal of the Iranian Statistical Society
Volume 22, Issue 1
June 2023
Pages 49-66

  • Receive Date 16 April 2022
  • Revise Date 15 June 2024
  • Accept Date 17 June 2023