Credibility theory using fuzzy numbers

This paper studies actuarial credibility theory when the information about the loss model or the prior distribution of its parameters is imprecise or vague. Several approaches, such as robust Bayesian method and imprecise probability, have been proposed in the literature to study such problems. In this paper, we propose to represent the imprecise/partial/vague information about model parameters as fuzzy numbers and derive formulas for “fuzzy credibility premiums”. The results extend those exist in the literature. Address for Correspondence: dgao28@uwo.ca