Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective

DOI10.1016/J.INSMATHECO.2010.09.007zbMath1233.91142OpenAlexW3121515208MaRDI 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

zbMATH Keywords

mixed linear modeladaptive robust-efficient estimationasymmetric heavy-tailed residualscredibility ratemakingtreatment of excess claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Robust-efficient fitting of mixed linear models: methodology and theory ⋮ A Bühlmann Credibility Approach to Modeling Mortality Rates ⋮ Satisficing credibility for heterogeneous risks

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