Credibility premiums under entropy-balanced loss function

DOI10.13413/J.CNKI.JDXBLXB.2015.05.18MaRDI QIDQ3461390zbMATH OpenFDO

Authors Danshu Sheng, Dehui Wang, Kaiyin Huang, Chunyang Liu

Publication date 15 January 2016

Full work available at URL https://doi.org/10.13413/J.CNKI.JDXBLXB.2015.05.18

zbMATH Keywords

asymmetric loss functioncredibility factorcredibility premiumoptimal linear premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• The pure robust credibility estimation under the maximum entropy method
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• A credibility model under balanced loss functions
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• On weighted balanced loss function under the Esscher principle and credibility premiums
• Some results on quadratic credibility premium using the balanced loss function
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