| 具有风险相依结构的平衡信度估计 |
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| 引用本文： | 程兵,陈萍.具有风险相依结构的平衡信度估计[J].经济数学,2016(1):80-83. |
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| 作者姓名： | 程兵 陈萍 |
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| 作者单位： | 南京理工大学 理学院，江苏，南京 210094 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 在保险实务中,风险之间具有一定的相依结构.通过考虑保费的目标估计来对风险保费进行了研究,采用正交投影的方法求解了最优问题,在平衡损失函数下得到了风险等相关的齐次和非齐次信度估计.结果表明得到的信度估计具有经典信度模型的加权形式.
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| 关 键 词： | 信度估计 等相关 正交投影 平衡损失函数 |
Balanced Credibility Estimator with Dependence Structure among Risks |
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| CHENG Bing,CHEN Ping.Balanced Credibility Estimator with Dependence Structure among Risks[J].Mathematics in Economics,2016(1):80-83. |
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| Authors: | CHENG Bing CHEN Ping |
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| Institution: | (School of Science, Nanjing University of Science and Technology,Nanjing,Jiangsu210094,China) |
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| Abstract: | In actuarial practice,there is some dependence structure among risks.Considering the target premium,the optimal solution of the target problem was derived by using the orthogonal projection method.The inhomogeneous and homoge-neous credibility estimators with equal correlations risks under balanced loss function were obtained.The results show that the estimators still can be expressed weighted sum as the classical credibility model. |
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| Keywords: | credibility estimator equal correlation orthogonal projection balanced loss function |
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