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

• Article • Previous Articles     Next Articles

The comparisons among credibility estimators under Esscher premium principle

WANG Wei1, WEN Li-min1,2, ZHANG Yi2   

  1. 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: 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

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