Bayes premium under variance-related principles with risk dependence

Abstract

Abstract: 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.

Key words: risk dependence, variance-related premium principle, collective premium, Bayes premium

CLC Number:

O157.5

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

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