Evolutionary credibility risk premium

DOI10.1016/j.insmatheco.2020.04.015zbMath1446.91057OpenAlexW3026359695MaRDI QIDQ784440

Ka Chun Cheung, Hugo Ming Cheung Choi, Yongzhao Chen, Sheung Chi Phillip Yam

Publication date: 3 August 2020

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.04.015

zbMATH Keywords

credibility theoryARMA\(LU\) factorizationBühlmann's evolutionary modelrisk-loaded premiumvariance (shrinkage) estimator

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (1)

A general optimal approach to Bühlmann credibility theory

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