In:
Statistica Neerlandica, Wiley, Vol. 72, No. 2 ( 2018-05), p. 157-173
Abstract:
In this paper, we study the Bühlmann credibility model with constant interest rate and equal dependence structure over risks and time under balanced loss function. By means of orthogonal projection, the inhomogeneous and homogeneous credibility premium estimators are derived, which extend those for the existing models to slightly more general versions. Finally, we investigate the estimation of the structure parameters and present a numerical example to show the effectiveness of the inhomogeneous estimator.
Type of Medium:
Online Resource
ISSN:
0039-0402
,
1467-9574
Language:
English
Publisher:
Wiley
Publication Date:
2018
detail.hit.zdb_id:
1466958-4
SSG:
7,23
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