Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
From MaRDI portal
Publication:2276207
DOI10.1016/j.insmatheco.2010.09.007zbMath1233.91142MaRDI QIDQ2276207
Harald Dornheim, Vytaras Brazauskas
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.09.007
mixed linear model; adaptive robust-efficient estimation; asymmetric heavy-tailed residuals; credibility ratemaking; treatment of excess claims
62P05: Applications of statistics to actuarial sciences and financial mathematics
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