具有风险相依结构的Bhlmann信度模型

The Bhlmann Credibility Models with Dependent Risk Structure

在经典的Bhlmann信度模型中,一般假设风险之间是相互独立的.但在实际应用中,这种假设与实际不吻合.本文建立了风险相依情况下的Bhlmann信度模型,并得到了相应的非齐次与齐次信度估计.最后,对该结论与经典Bhlmann信度估计做了比较,得出较好的结论.

In classical Biihlmann credibility models,claims are assumed to be independent over risks.In many practical situations,however,this assumption may be violated with the insurance practice.This paper aims to build the credibility models with the general risk dependence structure.The corresponding inhomogeneous and homogeneous credibility estimators are derived.Finally,the credibility estimators are compared with classical Bhlmann credibility,and some desired results are derived.