The credibility premiums under generalized weighted loss functions

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Publication:2379829





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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