On the (weak) dependence between risk pro les in insurance data analysis.

  1. Vázquez Polo, Francisco José
  2. Martel Escobar, María del Carmen
  3. Hernández Bastida, Agustín
Revista:
Anales de ASEPUMA

ISSN: 2171-892X

Año de publicación: 2013

Número: 21

Tipo: Artículo

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Otras publicaciones en: Anales de ASEPUMA

Resumen

A common assumption in the statistical model for Bayes premium in the insurance context, is the independence between risk profiles associated with random quantities considered. In this communication we consider the compound collective risk model in which the primary distribution is comprised of the Poisson-Lindley distribution with a  parameter, and where the secondary distribution is an exponential one with a  parameter. We consider the case of dependence between risk pro les (i.e., the parameters  and ), where the dependence is modelled by a Farlie-Gumbel-Morgenstern family. Statistical properties and some consequences on the Bayes premium of the structure dependence chosen are studied.

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