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2016•Hacettepe Journal of Mathematics and StatisticsRequires access

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

Farouk Metiri, Halim Zeghdoudi, Mohamed Riad Remita

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Abstract

This paper focuses on weighted balanced loss function under the Esscher principle (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.

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What this paper is about

This paper focuses on weighted balanced loss function under the Esscher principle (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.

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OpenAlex reports 1 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

This paper focuses on weighted balanced loss function under the Esscher principle (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.

Key concepts: Mathematics, Credibility, Function (biology), Mathematical economics, Applied mathematics, Econometrics, Law, Political science

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