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Issue 4
Jul.  2014
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YU Jun, WEN Li-min. Bayes premium under variance-related principles with risk dependence[J]. Journal of East China Normal University (Natural Sciences), 2014, (4): 26-38.
Citation: YU Jun, WEN Li-min. Bayes premium under variance-related principles with risk dependence[J]. Journal of East China Normal University (Natural Sciences), 2014, (4): 26-38.

Bayes premium under variance-related principles with risk dependence

  • Received Date: 2013-07-01
  • Rev Recd Date: 2013-10-01
  • Publish Date: 2014-07-25
  • In a classical collective risk model, the claim numbers and claim amounts are usually assumed to be independent of each other, but in the actual business of insurance, they are generally dependent. In this paper, by introducing the concept of Sarmanov-Lee family of dependent distributions, the collective premium and Bayes premium were researched under variance-related the premium principle with the dependence between the risk profiles. Finally, the robustness of premium estimator were checked by numerical analysis. The results show that the collective premium and Bayes premium are highly sensitive even at the moderate levels of correlation between the risk profiles.
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