# American Institute of Mathematical Sciences

April  2015, 11(2): 365-380. doi: 10.3934/jimo.2015.11.365

## Credibility models with dependence structure over risks and time horizon

 1 Department of Mathematics, Shanghai Maritime University, Shanghai, China 2 Center of International Finance and Risk Management, Department of Statistics and Actuarial Science, East China Normal University, Shanghai, China

Received  November 2012 Revised  March 2014 Published  September 2014

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''.
Citation: Weizhong Huang, Xianyi Wu. Credibility models with dependence structure over risks and time horizon. Journal of Industrial & Management Optimization, 2015, 11 (2) : 365-380. doi: 10.3934/jimo.2015.11.365
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