摘要
在经典的Hachemeister(1975)信度回归模型中,各个风险被假定为相互独立的.本文假设风险之间存在由共同效应导致的风险相依,建立了共同效应的信度回归模型,得到未来索赔的信度预测与风险参数的信度估计.结论表明,在共同效应模型,信度估计仍然是个体索赔数据与聚合保费的加权和.
In classical regression credibility models suggested by Hachemeister（1975）,the risks are assumed to be mutually independent.In this paper,we introduce a dependence between risks induced by common effects and developed a credibility regression model with dependence and the credibility predictors of future claims and the estimators of risk parameters are derived under this model.The results show that the credibility estimators remain the weighted sums of individual and collective premium.
出处
《应用概率统计》
CSCD
北大核心
2011年第3期312-322,共11页
Chinese Journal of Applied Probability and Statistics
基金
上海应用技术学院科学技术发展基金项目(KJ2008-15)
江西省教育厅青年科学基金项目(GJJ10096)资助
关键词
信度估计
共同效应
正交投影
回归信度
Credibility estimator
random common effects
orthogonal projection
regression credibility.
