The comparisons among credibility estimators under Esscher premium principle

Journal of East China Normal University(Natural Sc ›› 2010, Vol. 2010 ›› Issue (3): 126-133.

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The comparisons among credibility estimators under Esscher premium principle

WANG Wei¹, WEN Li-min^1,2, ZHANG Yi²

1. Department of Statistics and actuarialcience,East China Normal University, Shanghai 200241, China;2. Department of Mathematics and information science, JiangXi Normal University, Nanchang, 330022, China

Received:2009-09-08 Revised:2009-11-11 Online:2010-05-25 Published:2010-05-25
Contact: WEN Li-min

Abstract

Abstract: This paper built the credibility model under Esscher premium principle, and derived the Bayes premium, Bayes estimator, credibility premium and credibility estimator of individual premium under Esscher premium principle correspondingly. In addition, the differences and connections among those estimators were compared, and the consistency were proved. Finally, the results were shown by simulations.

Key words: Esscher premium principle, estimator, consistency, credibility model, Esscher premium principle, estimator, consistency

CLC Number:

O211. 2

WANG Wei;WEN Li-min;ZHANG Yi. The comparisons among credibility estimators under Esscher premium principle[J]. Journal of East China Normal University(Natural Sc, 2010, 2010(3): 126-133.

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The comparisons among credibility estimators under Esscher premium principle

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