CAJ | 학술논문

在经典信度理论中，运用平方损失函数来估计保费会导致很高的惩罚额，影响保险市场的竞争力；另一方面，经典信度理论假设一个保单组合的每个保单索赔额间互相独立；但在实际应用中，各个保单索赔额间却是风险相依的。采用LINEX损失函数，将温利民等人在2012年提出的一个保单各年索赔额间具有时间变化效应的风险相依结构推广到一个保单组合的各个保单索赔额间，并且给出了LINEX 损失函数下具有风险相依结构的Bühlmann模型的信度保费和LINEX损失函数下Bühlmann模型的信度保费。
재경전신도이론중，운용평방손실함수래고계보비회도치흔고적징벌액，영향보험시장적경쟁력；령일방면，경전신도이론가설일개보단조합적매개보단색배액간호상독립；단재실제응용중，각개보단색배액간각시풍험상의적。채용LINEX손실함수，장온이민등인재2012년제출적일개보단각년색배액간구유시간변화효응적풍험상의결구추엄도일개보단조합적각개보단색배액간，병차급출료LINEX 손실함수하구유풍험상의결구적Bühlmann모형적신도보비화LINEX손실함수하Bühlmann모형적신도보비。
In classical credibility theory ,the actuary uses squared‐error loss function to estimate premium ,but it can lead to very high penalties which affects the competitive strength of insur‐ance market .On the other hand ,classical credibility theory assumes that the claim amounts of every insurance policy in a portfolio are independent ,how ever ,the claim amounts of every insur‐ance policy are risks dependent .Wen et al .(2012)studied the credibility model with time change‐able effects among the claim amounts of one insurance policy and obtained credibility premium , this risks dependence structure was generalized to the claim amounts of every insurance policy . The Bühlmann‐Straub model was considered with risks dependence structure among every insur‐ance policy under LINEX loss function and the credibility premium formula which generalized the classical credibility model is obtained .