LINEX损失函数下具有时间变化效应的信度模型

Credibility Models with Time Varying Effects under LINEX Loss Function

在经典信度理论中,运用平方损失函数来估计保费会导致很高的惩罚额,影响保险市场的竞争力,同时在实际应用中,索赔额间是风险相依的。在LINEX损失函数下考虑了各年索赔额间具有此种风险相依结构的信度理论,得到了Bühlmann和Bühlmann-Straub模型的信度保费。

In classical credibility theory, the actuary uses squared-error loss function to estimate pre-mium, but it can lead to very high penalties which affects competitive strength of insurance market. On the other hand, classical credibility theory assumes that the claim amounts of one insurance policy are independent. However, in practical applications, the claim amounts are risks dependent. Wen et al studied the credibility model with dependence structure called time changeable effects and obtained credibility premium in 2012. Moreover, credibility premium using LINEX loss function can be equita- ble, So this paper considered the credibility model obtained Bühlmann and Bühlmann-Straub models＇ with time varying effects among claim amounts and credibility premiums.