The balanced credibility estimators with correlation risk and inflation factor

Qiang Zhang (), Lijun Wu and Qianqian Cui
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Qiang Zhang: Nanjing University of Science and Technology
Lijun Wu: Xinjiang University
Qianqian Cui: Nanjing University of Science and Technology

Statistical Papers, 2017, vol. 58, issue 3, No 6, 659-672

Abstract: Abstract In classical credibility theory, claims are assumed to be independent over risks and the premiums are derived under squared loss functions. However, in many practical situations, the assumptions may be violated in some situations. Hence, this paper investigates the credibility estimators under balanced loss function with equal dependence structure among the individual risks and inflation factor. To be specific, the inhomogeneous and homogeneous credibility estimators are derived for Bühlmann–Straub credibility model.

Keywords: Credibility estimator; Equal dependence; Inflation factor; Balanced loss function; Bühlmann–Straub model (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s00362-015-0719-6

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