Regression credibility model with correlation risk under balanced loss function

HUANG Wei-zhong

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Jan. 2013

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HUANG Wei-zhong. Regression credibility model with correlation risk under balanced loss function[J]. Journal of East China Normal University (Natural Sciences), 2013, (1): 30-40.

Citation:

HUANG Wei-zhong. Regression credibility model with correlation risk under balanced loss function[J]. Journal of East China Normal University (Natural Sciences), 2013, (1): 30-40.

HUANG Wei-zhong. Regression credibility model with correlation risk under balanced loss function[J]. Journal of East China Normal University (Natural Sciences), 2013, (1): 30-40.

Citation:

HUANG Wei-zhong. Regression credibility model with correlation risk under balanced loss function[J]. Journal of East China Normal University (Natural Sciences), 2013, (1): 30-40.

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Regression credibility model with correlation risk under balanced loss function

HUANG Wei-zhong^1,2

1.
School of Finance and Statistics, East China Normal University, Shanghai 200062, China;
2.
Department of Mathematics, Shanghai Maritime University, Shanghai 201306, China

Received Date: 2011-12-01
Rev Recd Date: 2012-03-01
Publish Date: 2013-01-25

Abstract

Abstract

Firstly the relation between the credibility premium under balanced loss function and quadratic loss function was given. Then the linear regression credibility premium with correlation risk under balanced loss function was derived. At last the credibility premium was expressed in balanced loss function when the target estimator was specialized, meanwhile the regression credibility model with equal correlation and common effect risk under balanced loss function was discussed.
- balanced loss function,
- correlation risk,
- regression credibility

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References(1)

References

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