Proceedings of the 2014 International Conference on Global Economy, Finance and Humanities Research

A generalization Credibility Premium Estimator with Dependent Risk Structure under the Exponential Premium Principle

Authors
Qiang Zhang, Lijun Wu, Juan Zhang
Corresponding Author
Qiang Zhang
Available Online March 2014.
DOI
https://doi.org/10.2991/gefhr-14.2014.63How to use a DOI?
Keywords
risk heterogeneous, credibility estimator, orthogonal projection, dependent risk
Abstract

In classical credibility models, claims are assumed to be independent and identically distributed. In many practical situations, however, claims are not identically distributed. In this paper, we present the assumptions of risk heterogeneous portfolio, the credibility models with dependent risk structure have been built under exponential principle. By means of the orthogonal projection method, the credibility estimator is obtained. The results generalize some well known existing results in credibility theory.

Copyright
© 2014, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2014 International Conference on Global Economy, Finance and Humanities Research
Series
Advances in Intelligent Systems Research
Publication Date
March 2014
ISBN
978-94-6252-006-6
ISSN
1951-6851
DOI
https://doi.org/10.2991/gefhr-14.2014.63How to use a DOI?
Copyright
© 2014, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Qiang Zhang
AU  - Lijun Wu
AU  - Juan Zhang
PY  - 2014/03
DA  - 2014/03
TI  - A generalization Credibility Premium Estimator with Dependent Risk Structure under the Exponential Premium Principle
BT  - Proceedings of the 2014 International Conference on Global Economy, Finance and Humanities Research
PB  - Atlantis Press
SP  - 226
EP  - 228
SN  - 1951-6851
UR  - https://doi.org/10.2991/gefhr-14.2014.63
DO  - https://doi.org/10.2991/gefhr-14.2014.63
ID  - Zhang2014/03
ER  -