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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作者单位
程兵,陈萍 (南京理工大学 理学院江苏南京210094) 
中文摘要: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.
中文关键词: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
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 homogeneous 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.
keywords:credibility estimator  equal correlation  orthogonal projection  balanced loss function
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