The credibility premiums under generalized weighted loss functions

DOI10.3934/JIMO.2009.5.893MaRDI QIDQ2379829zbMATH OpenOpenAlexFDO

Authors Xianyi Wu, Limin Wen, Xiaobing Zhao

Publication date 22 March 2010

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2009.5.893

zbMATH Keywords

consistencycredibility estimatorgeneralized weighted premiumsafety loadingweighted loss function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Review text

In the paper, the authors consider the premium principle induced by a generalized loss function that can provide the premium principle with a positive safety loading. Under this generalized loss function they derive its Bayes premium and two types of credibility premiums. Both credibility premiums are approximately convex combinations of the collective premium and some functions of the historical claims. In a first case the function is linear in the historical claims and the corresponding credibility premium is not consistent. In the other case the function is taken as an empirical version of the individual premium and the corresponding credibility premium converges to the individual premium.

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