Credibility Models with Time Varying Effects 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 competitive strength of insurance market.On the other hand,classical credibility theory assumes that the claim amounts of one insurance policy are independent. However,in practical applications,the claim amounts are risks dependent. Wen et al studied the credibility model with dependence structure called time changeable effects and obtained credibility premium in 2012. Moreover,credibility premium using LINEX loss function can be equitable. So this paper considered the credibility model with time varying effects among claim amounts and obtained Buhlmann and Buhlmann-Straub models' credibility premiums.