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.
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Acknowledgments
This research was supported by The National Natural Science Foundation of P.R. China [11361058].
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Zhang, Q., Wu, L. & Cui, Q. The balanced credibility estimators with correlation risk and inflation factor. Stat Papers 58, 659–672 (2017). https://doi.org/10.1007/s00362-015-0719-6
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DOI: https://doi.org/10.1007/s00362-015-0719-6