The Credibility Estimator with General Dependence Structure Over Risks

DOI10.1080/03610921003650440zbMath1216.62160OpenAlexW2083464418MaRDI QIDQ3015902

Li-Min Wen, Xianyi Wu

Publication date: 13 July 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610921003650440

zbMATH Keywords

projectioncredibility premiumregression credibility model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

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 ⋮ A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates ⋮ A Spatial Cross-Sectional Credibility Model with Dependence Among Risks ⋮ Claim Dependence Induced by Common Effects in Hierarchical Credibility Models

Cites Work

• The credibility premiums for models with dependence induced by common effects
• Stop-loss order for portfolios of dependent risks
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Generalized correlation order and stop-loss order
• A new characterization of distortion premiums via countable additivity for comonotonic risks
• Claim dependence with common effects in credibility models
• A course in credibility theory and its applications

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