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Equity and Exact Credibility

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  • Promislow, S. David
  • Young, Virginia R.

Abstract

We consider an alternative to the usual credibility premium that arises from squared-error loss, namely, a so-called equitable credibility premium (Promislow and Young, 1999). We derive formulas for the credibility weight in certain cases and give sufficient conditions for exact credibility.

Suggested Citation

  • Promislow, S. David & Young, Virginia R., 2000. "Equity and Exact Credibility," ASTIN Bulletin, Cambridge University Press, vol. 30(1), pages 3-11, May.
    • Handle: RePEc:cup:astinb:v:30:y:2000:i:01:p:3-11_00
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    Cited by:

    1. Gómez-Déniz, E., 2008. "A generalization of the credibility theory obtained by using the weighted balanced loss function," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 850-854, April.
    2. Agustin Hernandez Bastida & Emilio Gomez Deniz & Jose Maria Perez Sanchez, 2009. "Bayesian robustness of the compound Poisson distribution under bidimensional prior: an application to the collective risk model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(8), pages 853-869.

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