Dependence in Dynamic Claim Frequency Credibility Models

DOI10.2143/AST.33.1.1037MaRDI QIDQ4661671zbMATH OpenOpenAlexFDO

Authors Oana Purcaru, Michel 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 theoryexperience ratingPoisson mixturerisk classificationtime 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

• Allowance for the Age of Claims in Bonus-Malus Systems
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Positively correlated normal variables are associated
• The multivariate normal distribution

Cited in

(23)

• The credibility premiums for models with dependence induced by common effects
• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
• The balanced credibility estimators with correlation risk and inflation factor
• Multidimensional credibility estimators with random common effects and time effects
• Copula-based dependence between frequency and class in car insurance with excess zeros
• Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes
• Multidimensional balanced credibility model with time effect and two level random common effects
• On unreported claims models and beta-model for randomized probability of reported claims
• Duration dependence models for claim counts
• Copula models for insurance claim numbers with excess zeros and time-dependence
• Copula credibility for aggregate loss models
• Claim dependence with common effects in credibility models
• Credibility models with dependence structure over risks and time horizon
• Bayesian solvency analysis with autocorrelated observations
• Longitudinal modeling of insurance claim counts using jitters
• Modelling and estimating individual and firm effects with count panel data
• Empirical investigation of insurance claim dependencies using mixture models
• Hereditarity of potential matrices and positive affine prediction of nonnegative risks from mixture models
• Regression credibility estimator with two-level common effects
• Poisson models with dynamic random effects and nonnegative credibilities per period
• Credibility estimators with dependence structure over risks and time under balanced loss function
• An observation-driven state-space count model for experience rating
• Actuarial statistics with generalized linear mixed models

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