熵平衡损失下的信度保费  

Credibility Premiums under Entropy-Balanced Loss Function

作　　者：盛丹姝[1] 王德辉[1] 黄开银 刘春洋[1] 

机构地区：[1]吉林大学数学学院,长春130012

出　　处：《吉林大学学报（理学版）》2015年第5期925-929,共5页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:11271155)

摘　　要：通过引入具有非对称性的平衡损失函数,给出在该损失函数下的信度保费和最优信度保费及信度因子的非参数估计,并通过随机模拟验证了所给方法的可行性.结果表明,这种新的非对称损失函数比对称损失函数能更好地衡量风险,更公平地索取保费.The authors introduced the asymmetry of balanced loss function gave the credibility premium and optimum credibility premium under this loss function.At the same time,we also gave the non-parametric estimation of the credibility factor,and stochastic simulation to verify the feasibility of the method.Compared with the symmetric loss function,this asymmetric loss function can better measure risk,and more fairly obtain premiums.

关 键 词：非对称损失函数 最优线性保费 信度因子 信度保费 

分 类 号：O212.7[理学—概率论与数理统计]