Credibility Using Copulas

DOI10.1080/10920277.2005.10596196zbMath1085.62121OpenAlexW2062267023MaRDI QIDQ5716024

Edward W. Frees, Ping Wang

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596196

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Generalized linear models (logistic models) (62J12)

Related Items (23)

SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION ⋮ Copula-based regression models: a survey ⋮ PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE ⋮ Insurance ratemaking using a copula-based multivariate Tweedie model ⋮ The balanced credibility estimators with correlation risk and inflation factor ⋮ Multidimensional balanced credibility model with time effect and two level random common effects ⋮ Credibility estimators with dependence structure over risks and time under balanced loss function ⋮ Computational uncertainty analysis in multiresolution materials via stochastic constitutive theory ⋮ The credibility models with equal correlation risks ⋮ A Bühlmann Credibility Approach to Modeling Mortality Rates ⋮ Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations ⋮ Long-tail longitudinal modeling of insurance company expenses ⋮ Empirical investigation of insurance claim dependencies using mixture models ⋮ Uncertainty quantification in multiscale simulation of woven fiber composites ⋮ Using Convex Combination of Copulas and EM Algorithm for Credibility ⋮ Rank-based inference tools for copula regression, with property and casualty insurance applications ⋮ Copula credibility for aggregate loss models ⋮ Unnamed Item ⋮ Pair Copula Constructions for Insurance Experience Rating ⋮ Heavy-tailed longitudinal data modeling using copulas ⋮ Unnamed Item ⋮ The credibility premiums for models with dependence induced by common effects ⋮ Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes

Cites Work

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• A longitudinal data analysis interpretation of credibility models
• The t Copula and Related Copulas
• A Mixture Model to Assess The Effect of Hormonal Stimulation on the Development of Follicles in Prepubertal Heifers
• A Parametric Model for Cluster Correlated Categorical Data
• Multivariate Credibility for Aggregate Loss Models
• Case Studies Using Panel Data Models
• Understanding Relationships Using Copulas
• Credibility Theory

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