The credibility premiums for models with dependence induced by common effects

Limin Wen, Xianyi Wu () and Xian Zhou

Insurance: Mathematics and Economics, 2009, vol. 44, issue 1, pages 19-25

Abstract: In classical Bühlmann credibility models, claims are assumed to be independent between different risks. In many practical situations, however, this assumption may be violated because there are situations that could drive possible relationship among the insured individuals. This paper aims to extend the Bühlmann and Bühlmann-Straub credibility models to account for a special type of dependence between risks induced by common stochastic effects. By means of the projection method, the corresponding credibility premiums are obtained, which generalize some well known existing results in credibility theory.

Keywords: Credibility; premium; Common; effects; Dependence (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:insuma:v:44:y:2009:i:1:p:19-25

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