TY - JOUR T1 - Robust Bayesian Analysis and its Application in Estimation of Premium TT - تحلیل بیزی استوار و کاربرد آن در براورد حق بیمه JF - jsci JO - jsci VL - 13 IS - 3 UR - http://jsci.khu.ac.ir/article-1-1643-en.html Y1 - 2013 SP - 843 EP - 860 KW - Class of prior ditributions KW - Gamma distribution KW - Prediction of claim size KW - Robust Bayesian premium N2 - In the Bayesian framework, robust Bayesian methods concern on estimation of unknown parameters, or prediction of future observation, by specifying a class of priors instead of a single prior. Robust Bayesian methods have been used extensively in actuarial sciences for estimation of premium and prediction of future claim size. In this paper we consider robust Bayes estimation of premium and prediction of future claim size under two classes of prior distribution and under the scale invariant squared error loss function. Finally, by a simulation study and using prequential analysis, we compare the obtained robust Bayes estimators of future claim size. M3 ER -