Journal of Industrial and Management Optimization (JIMO)

Credibility models with dependence structure over risks and time horizon

Pages: 365 - 380, Volume 11, Issue 2, April 2015      doi:10.3934/jimo.2015.11.365

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Weizhong Huang - Department of Mathematics, Shanghai Maritime University, Shanghai, China (email)
Xianyi Wu - Center of International Finance and Risk Management, Department of Statistics and Actuarial Science, East China Normal University, Shanghai, China (email)

Abstract: In this paper, the Bühlmann and Bühlmann-Straub's credibility models with a type of dependence structures over risks and over time are discussed. The inhomogeneous and homogeneous credibility estimators of risk premium were derived. The inhomogeneous credibility estimators for the existing credibility models with common effects are extended to slightly more general versions. The results obtained shake the classical meaning of the term ``credibility premiums''.

Keywords:  Credibility model, orthogonal projection, credibility factor, dependence.
Mathematics Subject Classification:  Primary: 91B30, 62P05; Secondary: 97M30.

Received: November 2012;      Revised: March 2014;      Available Online: September 2014.