THE BALANCED CREDIBILITY ESTIMATORS WITH MULTITUDE CONTRACTS OBTAINED UNDER LINEX LOSS FUNCTION
Journal of Statistics Advances in Theory and Applications · 2015
Considering the target premium, we propose LINEX loss function to solve the problem of high premium by using a balanced loss function in most of classical credibility models.The inhomogeneous and homogeneous credibility estimators with multitude contracts are derived under LINEX loss function.Finally, the simulations have been introduced to show the consistency of the credibility estimators.