Tweedie multivariate semi-parametric credibility with the exchangeable correlation

DOI10.1016/j.insmatheco.2023.12.007OpenAlexW4390746736MaRDI QIDQ6199663

Himchan Jeong

Publication date: 21 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.12.007

zbMATH Keywords

dependence modelingTweedie distributioncredibility premiumposterior ratemakingmulti-peril insurance

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Multilevel modeling of insurance claims using copulas
• Multivariate Tweedie distributions and some related capital-at-risk analyses
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• A dependent frequency-severity approach to modeling longitudinal insurance claims
• A course in credibility theory and its applications
• On the ordering of credibility factors
• Exact Credibility and Tweedie Models
• Fitting Tweedie's compound poisson model to insurance claims data
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• Regression Modeling for the Valuation of Large Variable Annuity Portfolios
• Multivariate Tweedie lifetimes: the impact of dependence
• Insurance ratemaking using a copula-based multivariate Tweedie model
• Loss Models
• Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities
• Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
• A simple Bayesian state-space approach to the collective risk models

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