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Credibility models with dependence structure over risks and time horizon

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  • 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''.
    Mathematics Subject Classification: Primary: 91B30, 62P05; Secondary: 97M30.

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