Credibility estimators with dependence structure over risks and time under balanced loss function

Qiang Zhang and Ping Chen

Statistica Neerlandica, 2018, vol. 72, issue 2, 157-173

Abstract: In this paper, we study the Bühlmann credibility model with constant interest rate and equal dependence structure over risks and time under balanced loss function. By means of orthogonal projection, the inhomogeneous and homogeneous credibility premium estimators are derived, which extend those for the existing models to slightly more general versions. Finally, we investigate the estimation of the structure parameters and present a numerical example to show the effectiveness of the inhomogeneous estimator.

Date: 2018
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