Dependence in Dynamic Claim Frequency Credibility Models

DOI10.2143/AST.33.1.1037zbMath1098.62567OpenAlexW4232015716MaRDI QIDQ4661671

Oana Purcaru, Michel M. Denuit

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.33.1.1037

zbMATH Keywords

copulascredibility theoryPoisson mixturerisk classificationexperience ratingtime series for non-Gaussian responses

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Hereditarity of potential matrices and positive affine prediction of nonnegative risks from mixture models ⋮ Actuarial statistics with generalized linear mixed models ⋮ Regression credibility estimator with two-level common effects ⋮ Longitudinal modeling of insurance claim counts using jitters ⋮ 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 ⋮ Copula models for insurance claim numbers with excess zeros and time-dependence ⋮ Multidimensional credibility estimators with random common effects and time effects ⋮ POISSON MODELS WITH DYNAMIC RANDOM EFFECTS AND NONNEGATIVE CREDIBILITIES PER PERIOD ⋮ Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects. ⋮ Empirical investigation of insurance claim dependencies using mixture models ⋮ Copula credibility for aggregate loss models ⋮ Claim dependence with common effects in credibility models ⋮ Copula-based dependence between frequency and class in car insurance with excess zeros ⋮ MODELLING AND ESTIMATING INDIVIDUAL AND FIRM EFFECTS WITH COUNT PANEL DATA ⋮ 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

Cites Work

• Positively correlated normal variables are associated
• The multivariate normal distribution
• Allowance for the Age of Claims in Bonus-Malus Systems
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