LINEX损失函数下具有风险相依结构的信度模型

Credibility models with risks dependence structure 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;另一方面,经典信度理论假设一个保单组合的每个保单索赔额间互相独立;但在实际应用中,各个保单索赔额间却是风险相依的.采用LINEX损失函数,将温利民等人在2012年提出的一个保单各年索赔额间具有时间变化效应的风险相依结构推广到一个保单组合的各个保单索赔额间,并且给出了LINEX损失函数下具有风险相依结构的Bühlmann模型的信度保费和LINEX损失函数下Bühlmann模型的信度保费.

In classical credibility theory,the actuary uses squared-error loss function to estimate premium,but it can lead to very high penalties which affects the competitive strength of insurance market.On the other hand,classical credibility theory assumes that the claim amounts of every insurance policy in a portfolio are independent,however,the claim amounts of every insurance policy are risks dependent.Wen et al.（2012）studied the credibility model with time changeable effects among the claim amounts of one insurance policy and obtained credibility premium,this risks dependence structure was generalized to the claim amounts of every insurance policy.The Bühlmann-Straub model was considered with risks dependence structure among every insurance policy under LINEX loss function and the credibility premium formula which generalized the classical credibility model is obtained.