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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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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