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Credibility estimators with dependence structure over risks and time under balanced loss function

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  • Qiang Zhang
  • Ping Chen

Abstract

In this paper, we study the Bühlmann credibility model with constant interest rate and equal dependence structure over risks and time under balanced loss function. By means of orthogonal projection, the inhomogeneous and homogeneous credibility premium estimators are derived, which extend those for the existing models to slightly more general versions. Finally, we investigate the estimation of the structure parameters and present a numerical example to show the effectiveness of the inhomogeneous estimator.

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  • Qiang Zhang & Ping Chen, 2018. "Credibility estimators with dependence structure over risks and time under balanced loss function," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(2), pages 157-173, May.
    • Handle: RePEc:bla:stanee:v:72:y:2018:i:2:p:157-173
    DOI: 10.1111/stan.12125
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    Cited by:

    1. Mehrjoo, Mehrdad & Jafari Jozani, Mohammad & Pawlak, Miroslaw, 2021. "Toward hybrid approaches for wind turbine power curve modeling with balanced loss functions and local weighting schemes," Energy, Elsevier, vol. 218(C).
    2. Marchand, Éric & Strawderman, William E., 2020. "On shrinkage estimation for balanced loss functions," Journal of Multivariate Analysis, Elsevier, vol. 175(C).

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