The credibility premiums based on estimated moment-generating function

DOI10.1080/03610926.2015.1010010zbMath1406.91209OpenAlexW2541871289MaRDI QIDQ2979584

Yi Zhang, Jun Yu, Li-Min Wen, Guo-ping Mei

Publication date: 25 April 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1010010

zbMATH Keywords

asymptotic normalitymoment-generating functionstrong consistencycredibility premiumpremium principle

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items

The Bühlmann-Straub estimation of claim means in random B-F reserve model

Cites Work

• Unnamed Item
• The moment generating function of a bivariate gamma-type distribution
• On convergence of moment generating functions
• Discrete distributions from moment generating function
• On the consistency of credibility premiums regarding Esscher principle
• A Kolmogorov-Smirnov type test for skew normal distributions based on the empirical moment generating function
• Properties of the Esscher premium calculation principle
• Decision theoretic foundations of credibility theory
• Moment generating function approach to pricing interest rate and foreign exchange rate claims.
• Linear Bayes and optimal estimation
• Normality testing for a long-memory sequence using the empirical moment generating function
• The Esscher premium principle in risk theory: A Bayesian sensitivity study
• Moment generating function based estimators with some optimal properties
• The credibility premiums under generalized weighted loss functions
• Optimal reinsurance under variance related premium principles
• A course in credibility theory and its applications
• Optimal Reinsurance for Variance Related Premium Calculation Principles
• On statistical transform methods and their efficiency
• On the empirical saddlepoint approximation
• The linear Bayes regression estimator under weak prior assumptions
• On a class of premium principles including the Esscher principle
• A New Class of Credibility Estimators Under the Generalized Weighted Premium Principle