On weighted balanced loss function under the Esscher principle and credibility premiums

Year 2018, Volume: 47 Issue: 1, 255 - 265, 01.02.2018

Farouk Metiri Halim Zeghdoudi Mohamed Riad Remita

Abstract

This paper focuses on weighted balanced loss function under the Esscher principle (WBLF) of which we explore the modern practice of credibility theory and we generalize credibility premiums by using the WBLF. We obtain a distribution-free approach under the WBLF and the Esscher premium by using a minimization technique. Also, we discuss the consistency of the credibility premium generated by this distribution-free approach.

Keywords

Credibility premium, Esscher premium, loss function

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