Credibility models with dependence structure over risks and time horizon

Weizhong Huang; Xianyi Wu

doi:10.3934/jimo.2015.11.365

Credibility models with dependence structure over risks and time horizon

Weizhong Huang
, Xianyi Wu^*

^*Corresponding author for this work

School of Statistics

Shanghai Maritime University

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

Abstract

In this paper, the Bu¨hlmann and Bu¨hlmann-Straub's credibility models with a type of dependence structures over risks and over time are discussed. The inhomogeneous and homogeneous credibility estimators of risk premium were derived. The inhomogeneous credibility estimators for the existing credibility models with common effects are extended to slightly more general versions. The results obtained shake the classical meaning of the term "credibility premiums".

Original language	English
Pages (from-to)	365-380
Number of pages	16
Journal	Journal of Industrial and Management Optimization
Volume	11
Issue number	2
DOIs	https://doi.org/10.3934/jimo.2015.11.365
State	Published - 2015

Keywords

Credibility factor
Credibility model
Dependence
Orthogonal projection

Access to Document

10.3934/jimo.2015.11.365

Cite this

@article{1a101fbbb2514a9dafdfca1578919397,

title = "Credibility models with dependence structure over risks and time horizon",

abstract = "In this paper, the Bu¨hlmann and Bu¨hlmann-Straub's credibility models with a type of dependence structures over risks and over time are discussed. The inhomogeneous and homogeneous credibility estimators of risk premium were derived. The inhomogeneous credibility estimators for the existing credibility models with common effects are extended to slightly more general versions. The results obtained shake the classical meaning of the term {"}credibility premiums{"}.",

keywords = "Credibility factor, Credibility model, Dependence, Orthogonal projection",

author = "Weizhong Huang and Xianyi Wu",

year = "2015",

doi = "10.3934/jimo.2015.11.365",

language = "英语",

volume = "11",

pages = "365--380",

journal = "Journal of Industrial and Management Optimization",

issn = "1547-5816",

publisher = "American Institute of Mathematical Sciences",

number = "2",

}

TY - JOUR

T1 - Credibility models with dependence structure over risks and time horizon

AU - Huang, Weizhong

AU - Wu, Xianyi

PY - 2015

Y1 - 2015

N2 - In this paper, the Bu¨hlmann and Bu¨hlmann-Straub's credibility models with a type of dependence structures over risks and over time are discussed. The inhomogeneous and homogeneous credibility estimators of risk premium were derived. The inhomogeneous credibility estimators for the existing credibility models with common effects are extended to slightly more general versions. The results obtained shake the classical meaning of the term "credibility premiums".

AB - In this paper, the Bu¨hlmann and Bu¨hlmann-Straub's credibility models with a type of dependence structures over risks and over time are discussed. The inhomogeneous and homogeneous credibility estimators of risk premium were derived. The inhomogeneous credibility estimators for the existing credibility models with common effects are extended to slightly more general versions. The results obtained shake the classical meaning of the term "credibility premiums".

KW - Credibility factor

KW - Credibility model

KW - Dependence

KW - Orthogonal projection

UR - https://www.scopus.com/pages/publications/84907164421

U2 - 10.3934/jimo.2015.11.365

DO - 10.3934/jimo.2015.11.365

M3 - 文章

AN - SCOPUS:84907164421

SN - 1547-5816

VL - 11

SP - 365

EP - 380

JO - Journal of Industrial and Management Optimization

JF - Journal of Industrial and Management Optimization

IS - 2

ER -

Credibility models with dependence structure over risks and time horizon

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this