Credibility models with risks dependence structure under LINEX loss function
In classical credibility theory,the actuary uses squared-error loss function to estimate premium,but it can lead to very high penalties which affects the competitive strength of insurance market.On the other hand,classical credibility theory assumes that the claim amounts of every insurance policy in a portfolio are independent,however,the claim amounts of every insurance policy are risks dependent.Wen et al.(2012)studied the credibility model with time changeable effects among the claim amounts of one insurance policy and obtained credibility premium,this risks dependence structure was generalized to the claim amounts of every insurance policy.The Buhlmann-Straub model was considered with risks dependence structure among every insurance policy under LINEX loss function and the credibility premium formula which generalized the classical credibility model is obtained.