平衡指数损失函数下的信度保费  

The Credibility Premium with Balanced Exponential Loss Function

作　　者：张强[1] 倪科社[1] 吴黎军[2] 

机构地区：[1]石河子大学理学院,新疆石河子832003 [2]新疆大学数学与系统科学学院,新疆乌鲁木齐830046

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)

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.

关 键 词：平衡指数损失函数 信度估计 正交投影 

分 类 号：O211.5[理学—概率论与数理统计]