The Credibility Models under LINEX Loss Functions  

作　　者：WEN Li-min ZHANG Xiankun ZHENG Dan FANG .ling 

机构地区：[1]Department of Statistics, Jiangxi Normal University, Nanchang 330022, China

出　　处：《Chinese Quarterly Journal of Mathematics》2012年第3期397-402,共6页数学季刊（英文版）

基　　金：Supported by the NNSF of China(71001046);Supported by the NSF of Jiangxi Province(20114BAB211004)

摘　　要：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.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.

关 键 词：LINEX loss function credibility estimator Bayes premium 

分 类 号：O211[理学—概率论与数理统计]