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

Yıl 2018, Cilt: 47 Sayı: 1, 255 - 265, 01.02.2018

Farouk Metiri Halim Zeghdoudi Mohamed Riad Remita

Öz

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.

Anahtar Kelimeler

Credibility premium, Esscher premium, loss function

Kaynakça

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