In the classical credibility theory, the credibility premium is derived on the basis of pure premium. However, the insurance practice demands that the premium must be charged under some adaptable premium principle and serves the purpose for insurance business. In this paper, the balanced credibility models have been built under exponential principle, and the credibility estimator of individual exponential premium is derived. This result is also extended to the versions of multitude contracts, and the estimation of the structure parameters is investigated. Finally, the simulations have been introduced to show the consistency of the credibility estimator and its differences from the classical one.
LINEX(linear and exponential) loss function is a useful asymmetric loss function. The purpose of using a LINEX loss function in credibility models is to solve the problem of very high premium by suing a symmetric quadratic loss function in most of classical credibility models. The Bayes premium and the credibility premium are derived under LINEX loss function. The consistency of Bayes premium and credibility premium were also checked. Finally, the simulation was introduced to show the differences between the credibility estimator we derived and the classical one.
