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

DOI

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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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  - 10.2991/gefhr-14.2014.63
ID  - Zhang2014/03
ER  -