平衡损失函数下风险相依回归信度模型

Regression credibility model with correlation risk under balanced loss function

首先,给出了平衡损失函数下信度保费估计与二次损失函数下的信度保费估计的关系;然后,给出了在平衡损失函数下具有风险相依的回归信度保费表达式;并讨论了平衡损失函数下,目标估计为特殊情况的回归信度保费和风险等相关;以及具有共同效应时,二种回归信度保费表达式.

Firstly the relation between the credibility premium under balanced loss function and quadratic loss function was given. Then the linear regression credibility premium with correlation risk under balanced loss function was derived. At last the credibility premium was expressed in balanced loss function when the target estimator was specialized, meanwhile the regression credibility model with equal correlation and common effect risk under balanced loss function was discussed.