A generalization Credibility Premium Estimator with Dependent Risk Structure under the Exponential Premium Principle

Abstract

In classical credibility models, claims are assumed to be independent and identically distributed. In many practical situations, however, claims are not identically distributed. In this paper, we present the assumptions of risk heterogeneous portfolio, the credibility models with dependent risk structure have been built under exponential principle. By means of the orthogonal projection method, the credibility estimator is obtained. The results generalize some well known existing results in credibility theory.