加权平衡指数损失函数下的广义信度保费估计  

The General Credibility Premium Estimator under Weighted 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3期99-102,共4页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(11361058)

摘　　要：在非寿险中,在索赔经历虽然相互独立,但有时会服从不同的分布.通过考虑保费的目标估计来对风险保费进行了研究,并采用正交投影的方法得到了目标问题的最优解,从而得到了加权平衡指数损失函数下的信度估计.此外,给出了结构参数的无偏估计,并给出了模拟.结果表明,在考虑目标保费的情况下,当选取一个合适的权重,可以得到未来保费的最优估计.In nonlife insurance,claim experiences are mutually independent,but with different distributions.Consider-ing the target premium,and by means of the orthogonal projection method,the optimal solution of the target problem was ob-tained.Then the credibility estimator under weighted balanced exponential loss function was derived.In addition,the structure parameters were estimated and the result was shown by simulations.The result shows that,when considering the target premi-um,the optimal estimator of the future premium is obtained by selecting a suitable weight.

关 键 词：平衡指数损失函数 信度估计 参数估计 正交投影 

分 类 号：O211.5[理学—概率论与数理统计]