A0711
Title: Credibility theory for mean-variance premium principles
Authors: Yaodi Yong - The University of Hong Kong (Hong Kong) [presenting]
Yiying Zhang - Southern University of Science and Technology (China)
Abstract: In the credibility theory, hypothetical mean and process variance are two quantities that convey crucial information to decision-makers when determining premiums. Enlightened by the mean-variance premium principle, we propose a credibility approach to estimate both hypothetical and process variance at one time. The proposed estimator consists of linear observations and their quadratic terms. Several numerical illustrations are carried out to show the performance of the estimator. Meanwhile, a spin-off result is found and utilized to compare with the Buhlmann model and the $q$-credibility model.
