Credibility Estimation of Risk Premium in Expected Utility Principle

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.