平衡损失函数下具有一般风险相依的信度模型
首发时间:2013-05-24
摘要:考虑保费的目标估计与风险之间的相依性,在平衡损失函数下利用信度定价原理通过具有一般风险相依结构的风险保费来估计未来保费,得到了平衡损失函数下的Bühlmann和Bühlmann-Straub信度估计。结果表明,所得公式依然为经典公式加权的形式。
关键词: 概率论与数理统计 信度估计 平衡损失函数 风险相依
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The Credibility Models with general Risk Dependence Structure under Balanced Loss Function
Abstract:This paper considering the target premium and dependence over risks, the future premium has been estimated under balanced loss function with the general dependence structure over risks by using the credibility pricing principle, the Bühlmann and Bühlmann-Straub credibility estimator was derived under the balanced loss function. The results show that, the formula is still weighted form as the classical model.
Keywords: probability theory and mathematical statistics credibility estimator balanced loss function risk dependence
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