The credibility premiums for exponential principle |
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Authors: | Li Min Wen Wei Wang Jing Long Wang |
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Institution: | [1]Department of Mathematics, Jiangxi Normal University, Nanchang 330022, P. R. China [2]Department of Mathematics, University of Ning Bo, Ningbo 315211, P. R. China [3]Department of Statistics, East China Normal University, Shanghai 200241, P. R. China |
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Abstract: | In the classical credibility theory, the credibility premium is derived on the basis of pure premium. However, the insurance
practice demands that the premium must be charged under some adaptable premium principle and serves the purpose for insurance
business. In this paper, the balanced credibility models have been built under exponential principle, and the credibility
estimator of individual exponential premium is derived. This result is also extended to the versions of multitude contracts,
and the estimation of the structure parameters is investigated. Finally, the simulations have been introduced to show the
consistency of the credibility estimator and its differences from the classical one. |
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Keywords: | Exponential premium principle credibility estimator consistency safe-loading |
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