稳健贝叶斯方法在指数保费原理下的应用

Application of Robust Bayesian Methodology Under the Exponential Premium Principle

稳健贝叶斯方法可用来处理先验信息的不确定性问题,把先验分布限定在Γ族,由此得到一些最优准则.结合先验分布的ε-代换类,在指数保费原理下得出稳健贝叶斯保费和后验Γ-极小极大保费.

Robust Bayesian methodology can be used to deal with the uncertainty of priori information,and the prior distribution is restricted in the scope of Γ-cluster,from which some optimal rules can be derived.Combining with theε-contaminated class of prior distribution,we obtain the robust Bayesian premium and posteriorΓ-minimax premium under the exponential premium principle in the present paper.