Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors

DOI10.1016/S0167-6687(03)00112-4zbMath1024.62043OpenAlexW2041971556MaRDI QIDQ1413397

Hélène Cossette, Andrew Luong

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00112-4

zbMATH Keywords

generalized least squares estimatorsempirical Bayes estimatorsmoving average errorsvariance components modelscredibility factorHachemeister regression model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (3)

Quadratic estimators of covariance components in a multivariate mixed linear model ⋮ Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective ⋮ Generalized estimating equations for variance and covariance parameters in regression credibility models

Cites Work

• On optimal parameter estimation in credibility
• Empirical Bayes credibility
• Simultaneous Estimation of Parameters in Different Linear Models and Applications to Biometric Problems
• Ein autoregressives glaubwürdigkeitsmodell für IBNR-reserven;An autoregressive credibility IBNR model
• Efficient Inference in a Random Coefficient Regression Model
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