Abstract:

The authors  introduced the asymmetry of balanced loss function gave the credibility premium and optimum credibility premium under this loss function. At the same time, we also gave the nonparametric estimation of the credibility factor, and stochastic simulation to verify the  feasibility of the method. Compared with the symmetric loss function, this asymmetric loss function can better measure risk, and more fairly obtain premiums.

Key words: asymmetric loss function, optimal linear premium, credibility factor, credibility premium