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The credibility models with equal correlation risks

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Abstract

In almost all credibility estimators considered previously, the claims are assumed to be independent over risks. However, from practical point of view, this paper investigates the credibility premium when risks are dependent on each other. The authors build the Bühlmann’s credibility models to account for an equal correlation structure over risks, and parameter estimations are also considered. Some desired results are derived.

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Author information

Authors and Affiliations

  1. Institute of Mathematics and Information Science, Jiangxi Normal University, Nanchang, 330022, China

    Limin Wen

  2. Department of Statistics and Actuarial Science, East China Normal University, Shanghai, 200241, China

    Wenli Deng

Authors
  1. Limin Wen
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  2. Wenli Deng
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Corresponding author

Correspondence to Limin Wen.

Additional information

This research is supported by the Grants for Distinguished Phd Students in ECNU under Grant No. 2009028 and the Science Foundation (Youth) of the Education Department of Jiangxi under Grant No. GJJ10096.

This paper was recommended for publication by Editor Guohua ZOU.

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Wen, L., Deng, W. The credibility models with equal correlation risks. J Syst Sci Complex 24, 532–539 (2011). https://doi.org/10.1007/s11424-010-8328-x

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  • DOI: https://doi.org/10.1007/s11424-010-8328-x

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