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The Credibility Models with Risks Dependence Structure under Balanced Loss Function |
Li Xinpeng, Wu Lijun |
College of Mathematics and Physics, Xinjiang Agriculture University; College of Mathematics and System Sciences, Xinjiang University |
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Abstract In classical credibility theory, the claim amounts of different
insurance policies in a portfolio are assumed to be independent and the premiums are derived
under squared-error loss function. Wen et al. (2012) studied the credibility models with a
dependence structure among the claim amounts of one insurance policy that is called time
changeable effects and obtained the credibility formula. In this paper, we generalized this
dependence structure called time changeable effects to the claim amounts of different
insurance policies in a portfolio. Credibility premiums are obtained for Buhlmann and
Buhlmann-Straub credibility models with dependence structure under balanced loss function.
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Corresponding Authors:
Li Xinpeng
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