Volume no :14, Issue no: 1, September (2015)

Journal of Statistics: Advances in Theory and Applications

THE BALANCED CREDIBILITY ESTIMATORS WITH MULTITUDE CONTRACTS OBTAINED UNDER LINEX LOSS FUNCTION

Author's: Qiang Zhang, Lijun Wu and Qianqian Cui
Pages: [1] - [11]
Received Date: November 19, 2014
Submitted by:
DOI: http://dx.doi.org/10.18642/jsata_7100121426

Abstract

Considering the target premium, we propose LINEX loss function to solve the problem of high premium by using a balanced loss function in most of classical credibility models. The inhomogeneous and homogeneous credibility estimators with multitude contracts are derived under LINEX loss function. Finally, the simulations have been introduced to show the consistency of the credibility estimators.

Keywords

LINEX loss function, target premium, credibility estimator, multitude contracts.