平衡损失函数下具有风险相依结构的信度模型（英文）

The Credibility Models with Risks Dependence Structure under Balanced Loss Function

在经典信度理论中,一个保单组合各个保单索赔额之间是相互独立的,同时在均方损失函数下推导出信度保费.温利民等(2012)给出了一个保单过去索赔额间具有一种相依结构——被称为时间变化效应的信度模型的保费表达式.本文将这种被称为时间变化效应的相依结构推广到一个保单组合各个保单索赔额间,在平衡损失函数下,得到了Büglmann和Bühlmann-Straub模型的信度保费表达式.

In classical credibility theory, the claim amounts of different insurance policies in a portfolio are assumed to be independent and the premiums are derived under squared-error loss function. Wen et al. （2012） studied the credibility models with a dependence structure among the claim amounts of one insurance policy that is called time changeable effects and obtained the credibility formula. In this paper, we generalized this dependence structure called time changeable effects to the claim amounts of different insurance policies in a portfolio. Credibility premiums are obtained for Biihlmann and Bfihlmann-Straub credibility models with dependence structure under balanced loss function.