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Credibility estimators with dependence structure over risks and time under balanced loss function
Author(s) -
Zhang Qiang,
Chen Ping
Publication year - 2018
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/stan.12125
Subject(s) - estimator , credibility , mathematics , function (biology) , credibility theory , homogeneous , constant (computer programming) , projection (relational algebra) , econometrics , statistics , computer science , algorithm , combinatorics , evolutionary biology , political science , law , biology , programming language
In this paper, we study the Bühlmann credibility model with constant interest rate and equal dependence structure over risks and time under balanced loss function. By means of orthogonal projection, the inhomogeneous and homogeneous credibility premium estimators are derived, which extend those for the existing models to slightly more general versions. Finally, we investigate the estimation of the structure parameters and present a numerical example to show the effectiveness of the inhomogeneous estimator.