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

Authors : Farouk METİRİ, Halim ZEGHDOUDİ, Mohamed Riad REMİTA

Pages : 255-265

View : 19 | Download : 4

Publication Date : 2018-02-01

Article Type : Research Paper

Abstract :This paper focuses on weighted balanced loss function under the Esscher principle insert ignore into journalissuearticles values(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.
Keywords : Credibility premium, Esscher premium, loss function