The credibility premiums for models with dependence induced by common effects |
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Authors: | Limin Wen Xianyi Wu Xian Zhou |
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Institution: | a Department of Statistics and Actuarial Science, East China Normal University, Shanghai 200241, China b Institute of Mathematics and Information Science, Jiangxi Normal University, Jiangxi 330022, China c Department of Actuarial Studies, Macquarie University, Sydney, Australia |
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Abstract: | In classical Bühlmann credibility models, claims are assumed to be independent between different risks. In many practical situations, however, this assumption may be violated because there are situations that could drive possible relationship among the insured individuals. This paper aims to extend the Bühlmann and Bühlmann-Straub credibility models to account for a special type of dependence between risks induced by common stochastic effects. By means of the projection method, the corresponding credibility premiums are obtained, which generalize some well known existing results in credibility theory. |
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Keywords: | Credibility premium Common effects Dependence |
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