矩相关保费原理下具有时间变化效应的信度模型

The credibility model with time varying effects under moment-related premium principle

经典信度估计只适用于净保费原理,难以推广到一般保费原理,在实际应用中,赔付额间具有时间变化效应。根据矩相关保费原理,考虑赔付额间的时间变化效应,采用信度理论方法估计赔付额随机变量的条件矩母函数,给出矩相关保费原理下具有时间变化效应的信度估计。通过数值模拟,得到基于矩相关保费原理,几种常见保费原理下风险保费的信度估计满足相合性。

The classical credibility estimates can only compute net premiums,and is difficult to be transplanted to general premiums.In practical applications,the claim amounts have time varying effects.The moment-related premium principle,which can be expressed as function of conditional moment generating functions and consider time varying effects,is adopted in the study.The credibility theory was applied to reckon conditional moment generating functions of claim amounts and the credibility estimates with time varying effects were obtained.Finally,numerical simulations demonstrate that the credibility estimation of moment-related premium principle meets the consistency with the common premium principles.