On the consistency of credibility premiums regarding Esscher principle

DOI10.1016/j.insmatheco.2007.01.009zbMath1141.91541OpenAlexW2030450235MaRDI QIDQ939340

Xianyi Wu, Maolin Pan, Rong-Ming Wang

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.009

zbMATH Keywords

convergenceloss functionEsscher premiumcredibility premium

Mathematics Subject Classification ID

Related Items

A New Class of Credibility Estimators Under the Generalized Weighted Premium Principle ⋮ Exact credibility reference Bayesian premiums ⋮ Incorporating the Bühlmann credibility into mortality models to improve forecasting performances ⋮ A review of Bayesian asymptotics in general insurance applications ⋮ The credibility premiums based on estimated moment-generating function ⋮ Credibility Estimation of Distribution Functions with Applications to Experience Rating in General Insurance ⋮ Credibility theory based on trimming ⋮ Asymptotic normality of nonparametric estimate for zero-utility premiums ⋮ Credibility models with dependence structure over risks and time horizon ⋮ Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

Cites Work

• Unnamed Item
• The Esscher premium principle in risk theory: A Bayesian sensitivity study
• A course in credibility theory and its applications
• Stochastische Modellierung in der Erfahrungstarifierung
• A credibility theory for automobile bonus systems
• Credibility using a loss function from Spline theory
• Experience rating under weighted squared error loss
• Credibility Using a Loss Function from Spline Theory