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平衡指数损失函数下的信度保费 被引量：4

The Credibility Premium with Balanced Exponential Loss Function
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摘要 在经典的信度保费模型中,得到的信度保费估计均是考虑的是纯保费,然而在保险实务中,保险公司收取的保费不可能是纯保费,必须具有正的安全负荷.在平衡指数损失函数下,研究了多合同的信度保费模型.利用正交投影方法,得到了未来保费的信度估计.最后对估计进行了数值模拟. In the classical credibility premium model,the credibility premium is derived under the net premium principle.But in insurance practice,the premiums charged by insurance companies can not be the net premium,and must have a positive safe-loading.This paper studied the multi-contract credibility model under balanced exponential loss function.Using the method of orthogonal proj ection,the credibility estimator of the future premium was derived.Finally,the estimator was shown by simulations.
作者 张强 倪科社 吴黎军
机构地区 石河子大学理学院 新疆大学数学与系统科学学院
出处 《经济数学》 2014年第2期106-110,共5页 Journal of Quantitative Economics
基金 国家自然科学基金(编号:11361058)
关键词 平衡指数损失函数 信度估计 正交投影 balanced loss function credibility estimator orthogonal proj ection
分类号 O211.5 [理学—概率论与数理统计]
  • 相关文献

参考文献11

  • 1H BUHLMANN, A GISLER. A course in credibility theory and its application [M]. New York:Springer Press, 2005.
  • 2H U GERBER, A ARBOR. Credibility for Esscher premium [J]. Mitteilungen der VSVM,2005, 80(3): 307-312.
  • 3Maolin PAN, Rongming WANG, Xianyi WU. On the consistency of credibility premiums regarding Esscher principle[J]. Insurance: Mathematics and Economics, 2008, 42(1): 119- 126.
  • 4Limin WEN, Xianyi WU, Xiaobing ZHAO. The credibility premiums under generalized weighted loss functions [J]. Journal of Industrial and Management Optimization, 2009, 5 (4) : 893- 910.
  • 5Li Min WEN,Wei WANG,Jing Long WANG.The Credibility Premiums for Exponential Principle[J].Acta Mathematica Sinica,English Series,2011,27(11):2217-2228. 被引量：9
  • 6温利民,吴贤毅.指数保费原理下的经验厘定[J].中国科学：数学,2011,41(10):861-876. 被引量：24
  • 7A ZELLNER. Bayesian and non Bayesian estimation using balanced loss functions [M]. New York: Springer Press, 1994, 377 -390.
  • 8温利民,林霞,王静龙.平衡损失函数下的信度模型[J].应用概率统计,2009,25(5):553-560. 被引量：18
  • 9Weizhong HUANG. Regression credibility model with correla tion risk under balanced loss function [J]. Journal of East China Normal University (Natural Science), 2013, (2013)1 :30- 40.
  • 10张强,吴黎军.广义加权平衡指数损失函数下的信度保费[J].统计与决策,2013,29(1):89-91. 被引量：5

二级参考文献42

  • 1Buhlmann, H., Experience rating and credibility, Astin Bulletin, 4(1967), 199-207.
  • 2Buhlmann, H. and Gisler, A., A Course in Credibility Theory and I~s Applications, Springer, Nether- lands, 2005.
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  • 8Buhlmann H. Experience rating and credibility. Astin Bull, 1967, 4:199-207.
  • 9Norberg R. Credibility Theory. Encyclopedia of Actuarial Science. Chichester: Wiley, 2004.
  • 10Biihlmann H, Gisler A. A Course in Credibility Theory and its Applications. Berlin: Springer, 2005.

共引文献43

同被引文献22

  • 1张佳佳.相对损失函数下的倍度保费(英文)[J].应用概率统计,2007,23(2):157-164. 被引量：6
  • 2H BUHLMANN, A GISLER. A course in credibility theory and its application [M]. Netherlands: Springer, 2005.
  • 3Limin WEN, Xianyi WU, Xian ZHOU. The credibility premiums for models with dependence induced by common effects[J]. Insurance: Mathematics and Economics, 2009, 44(1):19-25.
  • 4张强.一类带有正安全负荷的信度模型[D].乌鲁木齐:新疆大学数学与系统科学学院,2012.
  • 5Weizhong HUANG. Regression credibility model with correlation risk under balaneedloss function [J]. Journal of East China Normal University (Natural Science), 2013,2013 ( 1 ) : 30- 40.
  • 6R C RAO, H HOUTENBURG. Linear Models [M]. New York: Springer Press, 1995,3- 18.
  • 7H BUHLMANN. Experience rating and credibility[J]. Astin Bulletin, 1967, 4(3): 199-207.
  • 8H BIHLMANN, A GISLER. A course in credibility theory and its applications[M]. New York: Springer Press, 2005.
  • 9K L YEO, E A VALDEZ. Claim dependence with common effects in credibility models [J]. Insurance: Mathematics and Economics, 2006, 38(3): 609-629.
  • 10Li-min WEN,Xian-yi WU,Xian ZHOU. The credibility premi- ums for models with dependence induced by common effects[J]. Insurance: Mathem-atics and Economics, 2009,44 (1) : 19 -25.

引证文献4

二级引证文献3

经济数学
2014年 第2期

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