The Utility of the Credibility Theory
AbstractIn this paper, we give the mathematical theory of the credibility model incorporating risk volumes. In the simple model of Section 1, we assumed that the risk volume was the same for all years. Often, in particular in reinsurance, one wants to allow for varying risk volumes, and for that purpose we introduced the following model.
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Bibliographic InfoArticle provided by Romanian Statistical Review in its journal Romanian Statistical Review Supplement.
Volume (Year): 60 (2012)
Issue (Month): 1 (March)
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a ceded insurance portfolio; the total claim amount of year j; some measure of the risk volume in year j; the number of risks in the portfolio in year j; the credibility model incorporating risk volumes;
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