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

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Hacettepe Journal of Mathematics and Statistics
Volume:47 Issue:1
On weighted balanced loss function under the Esscher principle and credibility premiums

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

Authors : Farouk METİRİ, Halim ZEGHDOUDİ, Mohamed Riad REMİTA

Pages : 255-265

View : 25 | Download : 8

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

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