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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. Bolance, Catalina & Guillen, Montserrat & Pinquet, Jean, 2003. "Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 273-282, October.
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    Full references (including those not matched with items on IDEAS)

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