平衡损失函数下风险相依回归信度模型

华东师范大学学报(自然科学版) ›› 2013, Vol. 2013 ›› Issue (1): 30-40.

平衡损失函数下风险相依回归信度模型

黄维忠^1,2

1. 华东师范大学~~金融统计学院, 上海 200062; 2. 上海海事大学~~数学系, 上海 201306

收稿日期:2011-12-01 修回日期:2012-03-01 出版日期:2013-01-25 发布日期:2013-01-18

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:2011-12-01 Revised:2012-03-01 Online:2013-01-25 Published:2013-01-18

摘要/Abstract

摘要： 首先,
给出了平衡损失函数下信度保费估计与二次损失函数下的信度保费估计的关系;
然后, 给出了在平衡损失函数下具有风险相依的回归信度保费表达式;
并讨论了平衡损失函数下,
目标估计为特殊情况的回归信度保费和风险等相关; 以及具有共同效应时,
二种回归信度保费表达式.

关键词: 平衡损失函数, 风险相依, 回归信度

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.

Key words: balanced loss function, correlation risk, regression credibility

中图分类号:

O212.1

黄维忠. 平衡损失函数下风险相依回归信度模型[J]. 华东师范大学学报(自然科学版), 2013, 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 Sc, 2013, 2013(1): 30-40.

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