The Credibility Estimator with General Dependence Structure Over Risks

Abstract

In almost all credibility models considered previously, the claims are assumed to be independent over risks. However, from the practical point of view, it is not always the case, and hence, in this article, we investigate the credibility premiums when risks are allowed to be generally dependent. Firstly, we re-build the credibility estimators for Bühlmann and Bühlmann–Straub credibility models under general dependence structure over risks. The methods are then extended to the regression credibility models.