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Calculation of Bayes premium for conditional elliptical risks
Insurance: Mathematics and Economics
In this paper we discuss the calculation of the Bayes premium for conditionally elliptical multivariate risks. In our framework the prior distribution is allowed to be very general requiring only that its probability density function satisfies some smoothness conditions. Based on the previous results of Landsman and Neslehova (2008) and Hamada and Valdez (2008) we show in this paper that for conditionally multivariate elliptical risks the calculation of the Bayes premium is closely related to the Brown identity and the celebrated Stein's lemma.
Bayes premium, Credibility premium, Elliptically symmetric distribution, Stein's lemma, Brown identity
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