A generalization Credibility Premium Estimator with Dependent Risk Structure under the Exponential Premium Principle
- https://doi.org/10.2991/gefhr-14.2014.63How to use a DOI?
- risk heterogeneous, credibility estimator, orthogonal projection, dependent risk
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.
- © 2014, the Authors. Published by Atlantis Press.
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- 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 -