A New Class of Credibility Estimators Under the Generalized Weighted Premium Principle |
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| Authors: | Limin Wen Jiangfeng Wang Xianyi Wu |
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| Institution: | 1. Department of Statistics , Jiangxi Normal University , Jiangxi , China;2. School of Information Management , Jiangxi University of Finance and Economics , Jiangxi , China wlmjxnu@163.com;4. Department of Statistics , Zhejiang Gangshang University , Hongzhou , China;5. Center of International Finance and Risk Management and Department of Statistics and Actuarial Science , East China Normal University , Shanghai , China |
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| Abstract: | The generalized weighted premium includes many classical premium principles. Most important of all, some of them have positive safe-loading. Some work had been done previously, the credibility premium derived under this premium principle cannot be applied to practice directly due to the difficulties of calculation and the estimation of structure parameters. In this article, we consider a new form of credibility estimator under the generalized weighted premium principle. In addition, the consistency of the estimator is shown and the comparisons were analyzed with previous results in the simulations. The results show that this “new” estimator is better than existed estimators under mean square error sense. Finally, the structure parameters in credibility factor were estimated in the models of multitude contracts. |
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| Keywords: | Consistency Credibility estimator Safe-loading Structure parameter The generalized weighted premium |
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