章溢. 期望效用原理中风险保费的信度估计[J]. 应用概率统计, 2023, 39(2): 301-314. DOI: 10.3969/j.issn.1001-4268.2023.02.008
引用本文: 章溢. 期望效用原理中风险保费的信度估计[J]. 应用概率统计, 2023, 39(2): 301-314. DOI: 10.3969/j.issn.1001-4268.2023.02.008
ZHANG Yi. Credibility Estimation of Risk Premium in Expected Utility Principle[J]. Chinese Journal of Applied Probability and Statistics, 2023, 39(2): 301-314. DOI: 10.3969/j.issn.1001-4268.2023.02.008
Citation: ZHANG Yi. Credibility Estimation of Risk Premium in Expected Utility Principle[J]. Chinese Journal of Applied Probability and Statistics, 2023, 39(2): 301-314. DOI: 10.3969/j.issn.1001-4268.2023.02.008

期望效用原理中风险保费的信度估计

Credibility Estimation of Risk Premium in Expected Utility Principle

  • 摘要: 期望效用保费定价方法是保费定价的重要方法之一.本文建立了期望效用保费原理的贝叶斯模型, 定义了期望效用原理的风险保费,并给出了风险保费的信度估计. 进而, 研究了保费估计的统计性质.最后通过数值模拟的方法验证了风险保费估计的渐近正态性和收敛速度.

     

    Abstract: The expected utility theory is one of the important methods to determine the premium of the risks. This paper establishes the Bayesian model of the expected utility premium principle. We defines the risk premium under the expected utility principle, and gives the Bayesian estimation and credibility estimation of the risk premium. Furthermore, the statistical properties of the estimates are considered. Finally, the asymptotic normality and convergence rate of risk premium estimation is verified by numerical simulation.

     

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