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Statistics In Transition

Article | 05-September-2021

Robust Bayesian insurance premium in a collective risk model with distorted priors under the generalised Bregman loss

square-error, LINEX, weighted square error, Brown, entropy loss. Some uncertainty about a prior is assumed by a distorted band class of priors. The range of collective and Bayes premiums is calculated and posterior regret Γ-minimax premium as a robust procedure has been implemented. Two examples are provided to illustrate the issues considered - the first one with an unknown parameter of the Poisson distribution, and the second one with unknown parameters of distributions of the number and

Agata Boratyńska

Statistics in Transition New Series, Volume 22 , ISSUE 3, 123–140