The Credibility Estimators under MLINEX Loss Function

摘要

In this paper, MLINEX loss function was considered to solve the problem of high premium in credibility models. The Bayes premium and credibility premium were obtained under MLINEX loss function by using a symmetric quadratic loss function. A credibility model with multiple contracts was established and the corresponding credibility estimator was derived under MLINEX loss function. For this model the estimations of the structure parameters and a numerical example were also given.