CAJ | 학술논문

在经典的信度理论中,一个保单组合的各风险之间是相互独立的,同时从二次损失函数中推导出信度保费.(Wen et al.,2009)给出了风险间具有共同效应的特殊的相关结构的信度保费表达式.本文在平衡损失函数下考虑此种风险结构的信度理论,特别地得到了Bühlmann和Bühlmann-Straub模型的信度保费表达式.
재경전적신도이론중,일개보단조합적각풍험지간시상호독립적,동시종이차손실함수중추도출신도보비.(Wen et al.,2009)급출료풍험간구유공동효응적특수적상관결구적신도보비표체식.본문재평형손실함수하고필차충풍험결구적신도이론,특별지득도료Bühlmann화Bühlmann-Straub모형적신도보비표체식.
In classical credibility theory,the risks in a portfolio are assumed to be mutually independent and the premiums are derived under squared loss functions.In this paper,we develop the credibility theory under balanced loss functions with a special dependence structure among the individual risks:induced by common effect (Wen et al.,2009).To be specific,credibility premiums under balanced loss functions with common effects are derived for Biihlmann and Bühlmann-Straub credibility models.