Claim dependence with common effects in credibility models
From MaRDI portal
Publication:2499841
DOI10.1016/j.insmatheco.2005.12.006zbMath1168.91420OpenAlexW2048211042MaRDI QIDQ2499841
Emiliano A. Valdez, Keng Leong Yeo
Publication date: 14 August 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.12.006
Related Items
Regression credibility estimator with two-level common effects, The balanced credibility estimators with correlation risk and inflation factor, Multidimensional balanced credibility model with time effect and two level random common effects, Credibility estimators with dependence structure over risks and time under balanced loss function, Multidimensional credibility estimators with random common effects and time effects, A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates, The credibility models with equal correlation risks, Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation, A Spatial Cross-Sectional Credibility Model with Dependence Among Risks, TVaR-based capital allocation with copulas, The Credibility Estimator with General Dependence Structure Over Risks, Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios, Credibility models with dependence structure over risks and time horizon, The credibility premiums for models with dependence induced by common effects, Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes, Unnamed Item, Claim Dependence Induced by Common Effects in Hierarchical Credibility Models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums
- On the impact of independence of risks on stop loss premiums
- A longitudinal data analysis interpretation of credibility models
- On the dependency of risks in the individual life model
- Stop-loss order for portfolios of dependent risks
- On two dependent individual risk models.
- Compound Poisson approximations for individual models with dependent risks.
- Simulation of ruin probabilities for risk processes of Markovian type
- Bivariate Survival Models Induced by Frailties
- Mathematical Statistics
- Dependence in Dynamic Claim Frequency Credibility Models