平衡损失函数下具有共同效应的信度保费(英文)  

The Credibility Premiums with Common Effects Obtained under Balanced Loss Functions

作　　者：黄维忠[1,2] 吴贤毅[1] 

机构地区：[1]华东师范大学统计与精算学系,上海200241 [2]上海海事大学数学系,上海201306

出　　处：《应用概率统计》2012年第2期203-216,共14页Chinese Journal of Applied Probability and Statistics

摘　　要：在经典的信度理论中,一个保单组合的各风险之间是相互独立的,同时从二次损失函数中推导出信度保费.(Wen et al.,2009)给出了风险间具有共同效应的特殊的相关结构的信度保费表达式.本文在平衡损失函数下考虑此种风险结构的信度理论,特别地得到了Bühlmann和Bühlmann-Straub模型的信度保费表达式.In classical credibility theory,the risks in a portfolio are assumed to be mutually independent and the premiums are derived under squared loss functions.In this paper,we develop the credibility theory under balanced loss functions with a special dependence structure among the individual risks：induced by common effect（Wen et al.,2009）.To be specific,credibility premiums under balanced loss functions with common effects are derived for Bhlmann and Bhlmann-Straub credibility models.

关 键 词：信度保费 共同效应 平衡损失函数 

分 类 号：O211.2[理学—概率论与数理统计]