The balanced credibility estimators with correlation risk and inflation factor (Q1685206)

This paper has studied the Bühlmann-Straub model with equal correlation structure among risks and inflation factor under balanced loss function. By means of the orthogonal projection methods in Hilbert space of random vectors, the inhomogeneous and homogeneous credibility estimators are derived. To be specific, the authors extend problem (2) in two aspects: on one hand, equal correlation structure over the risks is allowed, on the other hand, the squared loss function is generalized to the balanced squared loss function. In classical credibility theory, claims are assumed to be independent over risks and the premiums are derived under squared loss functions. However, in many practical situations, the assumptions may be violated in some situations. Hence, this paper investigates the credibility estimators under balanced loss function with equal dependence structure among the individual risks and inflation factor.