Ӧ�ø���ͳ�� 2012, 28(2) 203-216 DOI:      ISSN: 1001-4268 CN: 31-1256

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ͬʱ�Ӷ�����ʧ�������Ƶ����Ŷȱ���. (Wen et al.,
2009)�����˷��ռ���й�ͬЧӦ���������ؽṹ���Ŷȱ��ѱ��ʽ.
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The Credibility Premiums with Common Effects Obtained under Balanced Loss Functions
Huang Weizhong,Wu Xianyi
Department of Statistics and Actuarial Science,East China Normal University,Department of Mathematics, Shanghai Maritime University
Abstract:

In classical credibility theory,
the risks in a portfolio are assumed to be mutually independent and
the premiums are derived under squared loss functions. In this
paper, we develop the credibility theory under balanced loss
functions with a special dependence structure among the individual
risks: induced by common effect (Wen et al., 2009). To be specific,
credibility premiums under balanced loss functions with common
effects are derived for B\"{u}hlmann and B\"{u}hlmann-Straub
credibility models.

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