LINEX(linear and exponential) loss function is a useful asymmetric loss function. The purpose of using a LINEX loss function in credibility models is to solve the problem of very high premium by suing a symmetric quad...LINEX(linear and exponential) loss function is a useful asymmetric loss function. The purpose of using a LINEX loss function in credibility models is to solve the problem of very high premium by suing a symmetric quadratic loss function in most of classical credibility models. The Bayes premium and the credibility premium are derived under LINEX loss function. The consistency of Bayes premium and credibility premium were also checked. Finally, the simulation was introduced to show the differences between the credibility estimator we derived and the classical one.展开更多
In this paper, MLINEX loss function was considered to solve the problem of high premium in credibility models. The Bayes premium and credibility premium were obtained under MLINEX loss function by using a symmetric qu...In this paper, MLINEX loss function was considered to solve the problem of high premium in credibility models. The Bayes premium and credibility premium were obtained under MLINEX loss function by using a symmetric quadratic loss function. A credibility model with multiple contracts was established and the corresponding credibility estimator was derived under MLINEX loss function. For this model the estimations of the structure parameters and a numerical example were also given.展开更多
基金Supported by the NNSF of China(71001046)Supported by the NSF of Jiangxi Province(20114BAB211004)
文摘LINEX(linear and exponential) loss function is a useful asymmetric loss function. The purpose of using a LINEX loss function in credibility models is to solve the problem of very high premium by suing a symmetric quadratic loss function in most of classical credibility models. The Bayes premium and the credibility premium are derived under LINEX loss function. The consistency of Bayes premium and credibility premium were also checked. Finally, the simulation was introduced to show the differences between the credibility estimator we derived and the classical one.
基金Supported by the National Natural Science Foundation of China（11271189） Supported by the Scientific Research Innovation Project of Jiangsu Province（KYZZ116_0175）
文摘In this paper, MLINEX loss function was considered to solve the problem of high premium in credibility models. The Bayes premium and credibility premium were obtained under MLINEX loss function by using a symmetric quadratic loss function. A credibility model with multiple contracts was established and the corresponding credibility estimator was derived under MLINEX loss function. For this model the estimations of the structure parameters and a numerical example were also given.
