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Equity and Exact Credibility

Published online by Cambridge University Press:  29 August 2014

S. David Promislow  and
Virginia R. Young
Virginia R. Young
Affiliation:
Actuarial Science, School of Business, University of Wisconsin-Madison, 975 University Avenue, Madison, Wisconsin 53706-1323, USA
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Abstract

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We consider an alternative to the usual credibility premium that arises from squared-error loss, namely, a so-called equitable credibility premium (Promislow and Young, 1999). We derive formulas for the credibility weight in certain cases and give sufficient conditions for exact credibility.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 30 , Issue 1 , May 2000 , pp. 3 - 11
Copyright
Copyright © International Actuarial Association 2000

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