Journal of East China Normal University(Natural Sc ›› 2013, Vol. 2013 ›› Issue (1): 30-40.

• Article • Previous Articles     Next Articles

Regression credibility model with correlation risk under balanced loss function

HUANG Wei-zhong 1,2   

  1. 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

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

CLC Number: