The Credibility Models with Risks Dependence Structure under Balanced Loss Function

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.