THE CREDIBILITY MODELS WITH EQUAL CORRELATION RISKS

作     者：Limin WEN Wenli DENG 

作者机构：Institute of Mathematics and Information Science Jiangxi Normal University Nanehang 330022 China Department of Statistics and Actuarial Science East China Normal University Shanghai 200241 China Institute of Mathematics and Information Science Jiangxi Normal University Nanchang 330022 China. 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2011年第24卷第3期

页      面：532-539页

核心收录：

学科分类：120202[管理学-企业管理（含：财务管理、市场营销、人力资源管理）] 12[管理学] 02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 1202[管理学-工商管理] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the Grants for Distinguished Phd Students in ECNU under Grant No.2009028 the Science Foundation(Youth) of the Education Department of Jiangxi under Grant No.G J J10096 

主　　题：Credibility premium dependence equal correlation projection. 

摘      要：In almost all credibility estimators considered previously, the claims are assumed to be independent over risks. However, from practical point of view, this paper investigates the credibility premium when risks are dependent on each other. The authors build the Biihlmann＇s credibility models to account for an equal correlation structure over risks, and parameter estimations are also considered. Some desired results are derived.