A generalization of the credibility theory obtained by using the weighted balanced loss function |
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Authors: | E Gómez-Déniz |
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Institution: | Department of Quantitative Methods, University of Las Palmas de Gran Canaria, 35017-Las Palmas de Gran Canaria, Spain |
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Abstract: | In this paper an alternative to the usual credibility premium that arises for weighted balanced loss function is considered. This is a generalized loss function which includes as a particular case the weighted quadratic loss function traditionally used in actuarial science. From this function credibility premiums under appropriate likelihood and priors can be derived. By using weighted balanced loss function we obtain, first, generalized credibility premiums that contain as particular cases other credibility premiums in the literature and second, a generalization of the well-known distribution free approach in Bühlmann, H., 1967. Experience rating and credibility. Astin Bull. 4 (3), 199-207]. |
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Keywords: | IM30 |
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