A desirable aspect in the variance premium in a collective risk model

  1. Hernández Bastida, Agustín
  2. Fernández Sánchez, María del Pilar
  3. Gómez Déniz, Emilio
Journal:
Estudios de economía aplicada

ISSN: 1133-3197,  1697-5731

Year of publication: 2011

Issue Title: Economía del desarrollo rural

Volume: 29

Issue: 1

Type: Article

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More publications in: Estudios de economía aplicada

Abstract

This paper focuses on the study of the Collective and Bayes Premiums, under the Variance Premium Principle, in the classic Collective Risk Poisson-Exponential Model. A bivariate prior distribution is considered for both the parameter of the distribution of the number of claims and that of the distribution of the claim amount, assuming independence between these parameters. Furthermore, we analyze the consequences on these premiums of small levels of contamination in the structure functions, and find that the premiums are not sensitive to small levels of uncertainty. These results extend the conclusions obtained in Gómez-Déniz et al. (2000), where only variations in the parameter for the number of claims and its effects on premiums were studied.

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