Equity and Credibility

DOI10.1080/034612300750066827MaRDI QIDQ2739858zbMATH OpenOpenAlexFDO

Authors David Promislow, Virginia R. Young

Publication date 16 September 2001

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/034612300750066827

zbMATH Keywords

Buhlmann-Straub modelcredibility estimatorcredibility weightsequitable credibility formulainsurance premiumstructure function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Review text

This paper is a further development of the first author previous works [see \textit{S. D. Promislow}, Measurement of equity. Trans. Soc. Actuaries 39, 215-256 (1987); J. Econ. Theory 53, No. 2, 345-368 (1991; Zbl 0721.90024)] and is concentrated on the problem of using the observed claim data or other information (for instance, demographic data) to calculate premium which maximizes equity. When these optimal premiums are used, it is shown that always the equity increases when one gathes more information. Certain examples which illustrate this fact are presented. The case when the premium is constrained to be an affine function of the claim data is investigated and results analogous to the classical credibility theory including the homogeneous and inhomogeneous cases of Buhlmann-Straub model are obtained.

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Cites work

• An axiomatic characterization of some measures of unfairness
• scientific article; zbMATH DE number 107531 (Why is no real title available?)
• scientific article; zbMATH DE number 1095135 (Why is no real title available?)
• scientific article; zbMATH DE number 1128584 (Why is no real title available?)
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Cited in

(9)

• Equity and the core
• Measurement of relative inequity and Yaari's dual theory of risk.
• Credible debate equilibria
• Equitable insurance premium schemes
• Equity and Exact Credibility
• On optimal credibility premiums in multiperiod insurance
• Equilibrium trust
• The maximum entropy method to the credibility estimation
• Optimal streams of premiums in multiperiod credibility models

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