Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258053 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 4 [Article No.:] 100 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-10
Publisher: 
MDPI, Basel
Abstract: 
Different from classical Bühlmann and Bühlmann Straub credibility models in which independence between different risks are assumed, this paper takes dependence between risks into consideration and extends the classical Bühlmann model by introducing a common stochastic shock element. What is more, instead of relying on complete information of historical data, we aim to derive the premium using quantile of the available data. By the method of linear regression, we manage to obtain the quantile credibility premium with common effects. Our result is the generalization of existing results in credibility theory. Both quantile credibility model proposed by Pitselis (2013) and credibility premium for models with dependence induced by common effects obtained by Wen et al. (2009) are special cases of our model. Numerical simulations are also presented to illustrate the impact of quantile credibility with common effect.
Subjects: 
credibility premium
quantile model
common effect
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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