Credibility Using Copulas

DOI10.1080/10920277.2005.10596196MaRDI QIDQ5716024zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

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Cited in

(32)

• The credibility premiums for models with dependence induced by common effects
• The balanced credibility estimators with correlation risk and inflation factor
• Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes
• Credit portfolios, credibility theory, and dynamic empirical Bayes
• Uncertainty quantification in multiscale simulation of woven fiber composites
• Rank-based inference tools for copula regression, with property and casualty insurance applications
• Multidimensional balanced credibility model with time effect and two level random common effects
• Copula credibility for aggregate loss models
• Mathematical modelling for claim severities using normal and t copulas
• Multivariate Latent Risk: A Credibility Approach
• Paths and indices of maximal tail dependence
• Insurance ratemaking using a copula-based multivariate Tweedie model
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• Empirical investigation of insurance claim dependencies using mixture models
• SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION
• Dynamic reliability modeling with medical applications
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• Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations
• A Bühlmann credibility approach to modeling mortality rates
• Using convex combination of copulas and EM algorithm for credibility
• 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
• Estimation of structural parameters in balanced Bühlmann credibility model with correlation risk
• RafterNet: Probabilistic Predictions in Multi-Response Regression
• Long-tail longitudinal modeling of insurance company expenses
• An observation-driven state-space count model for experience rating
• Ruin probability for heavy-tailed and dependent losses under reinsurance strategies
• Storm CAT Bond: Modeling and Valuation
• Bayesian credibility premium with GB2 copulas
• Copula-based regression models: a survey
• Heavy-tailed longitudinal data modeling using copulas

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