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The balanced credibility estimators with correlation risk and inflation factor

Author

Listed:
  • Qiang Zhang

    (Nanjing University of Science and Technology)

  • Lijun Wu

    (Xinjiang University)

  • Qianqian Cui

    (Nanjing University of Science and Technology)

Abstract

In classical credibility theory, claims are assumed to be independent over risks and the premiums are derived under squared loss functions. However, in many practical situations, the assumptions may be violated in some situations. Hence, this paper investigates the credibility estimators under balanced loss function with equal dependence structure among the individual risks and inflation factor. To be specific, the inhomogeneous and homogeneous credibility estimators are derived for Bühlmann–Straub credibility model.

Suggested Citation

  • Qiang Zhang & Lijun Wu & Qianqian Cui, 2017. "The balanced credibility estimators with correlation risk and inflation factor," Statistical Papers, Springer, vol. 58(3), pages 659-672, September.
    • Handle: RePEc:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0719-6
    DOI: 10.1007/s00362-015-0719-6
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    References listed on IDEAS

    as
    1. Edward Frees & Ping Wang, 2005. "Credibility Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(2), pages 31-48.
    2. N. Farsipour & A. Asgharzadeh, 2004. "Estimation of a normal mean relative to balanced loss functions," Statistical Papers, Springer, vol. 45(2), pages 279-286, April.
    3. A. Asgharzadeh & N. Sanjari Farsipour, 2008. "Estimation of the exponential mean time to failure under a weighted balanced loss function," Statistical Papers, Springer, vol. 49(1), pages 121-131, March.
    4. Englund, Martin & Guillén, Montserrat & Gustafsson, Jim & Nielsen, Lars Hougaard & Nielsen, Jens Perch, 2008. "Multivariate Latent Risk: A Credibility Approach," ASTIN Bulletin, Cambridge University Press, vol. 38(1), pages 137-146, May.
    5. Bolance, Catalina & Guillen, Montserrat & Pinquet, Jean, 2003. "Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 273-282, October.
    6. Wen, Limin & Wu, Xianyi & Zhou, Xian, 2009. "The credibility premiums for models with dependence induced by common effects," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 19-25, February.
    7. Yeo, Keng Leong & Valdez, Emiliano A., 2006. "Claim dependence with common effects in credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 609-629, June.
    8. Purcaru, Oana & Denuit, Michel, 2003. "Dependence in Dynamic Claim Frequency Credibility Models," ASTIN Bulletin, Cambridge University Press, vol. 33(1), pages 23-40, May.
    Full references (including those not matched with items on IDEAS)

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