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The balanced credibility estimators with correlation risk and inflation factor

Author

Listed:
  • Qiang Zhang

    (Nanjing University of Science and Technology)

  • Lijun Wu

    (Xinjiang University)

  • Qianqian Cui

    (Nanjing University of Science and Technology)

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.

Suggested Citation

  • Qiang Zhang & Lijun Wu & Qianqian Cui, 2017. "The balanced credibility estimators with correlation risk and inflation factor," Statistical Papers, Springer, vol. 58(3), pages 659-672, September.
    • Handle: RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0719-6
    DOI: 10.1007/s00362-015-0719-6
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    References listed on IDEAS

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    1. A. Asgharzadeh & N. Sanjari Farsipour, 2008. "Estimation of the exponential mean time to failure under a weighted balanced loss function," Statistical Papers, Springer, vol. 49(1), pages 121-131, March.
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    3. Englund, Martin & Guillén, Montserrat & Gustafsson, Jim & Nielsen, Lars Hougaard & Nielsen, Jens Perch, 2008. "Multivariate Latent Risk: A Credibility Approach," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 137-146, May.
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    Full references (including those not matched with items on IDEAS)

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