The credibility premiums for models with dependence induced by common effects

Limin Wen, Xianyi Wu*, Xian Zhou

*Corresponding author for this work

Research output: Contribution to journalArticle

23 Citations (Scopus)

Abstract

In classical Bühlmann credibility models, claims are assumed to be independent between different risks. In many practical situations, however, this assumption may be violated because there are situations that could drive possible relationship among the insured individuals. This paper aims to extend the Bühlmann and Bühlmann-Straub credibility models to account for a special type of dependence between risks induced by common stochastic effects. By means of the projection method, the corresponding credibility premiums are obtained, which generalize some well known existing results in credibility theory.

Original languageEnglish
Pages (from-to)19-25
Number of pages7
JournalInsurance: Mathematics and Economics
Volume44
Issue number1
DOIs
Publication statusPublished - Feb 2009

Fingerprint Dive into the research topics of 'The credibility premiums for models with dependence induced by common effects'. Together they form a unique fingerprint.

  • Cite this