- Hacettepe Journal of Mathematics and Statistics
- Vol: 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 Metiri, Halim Zeghdoudi, Mohamed Riad Remita
Pages : 255-265
View : 9 | Download : 3
Publication Date : 2018-02-01
Article Type : Research
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.Keywords : Credibility premium, Esscher premium, loss function