Journal of Jishou University(Natural Sciences Edition)

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Credibility Recursive Model Based on Mlinex Loss Function

ZHAO Zhen,BI Fengxiao   

  1. (1.School of Statistics and Information,Xinjiang University of Finance and Economics,Urumqi 830012,China;2.69236 Army,Shawan 832100,Xinjiang China)
  • Online:2019-03-25 Published:2019-04-30


A credibility recursive model is established by replacing the square loss function with Mlinex loss function.The credibility premium of the (t+1)th year is the weight of the tth year's claim,the tth year's credibility premium and the collective premium.This model is proved to give larger weight to the claims of more recent years and less weight to the claims of more distant years.

Key words: Mlinex loss function, credibility premium, recursive model

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