Tweedie multivariate semi-parametric credibility with the exchangeable correlation (Q6199663)

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scientific article; zbMATH DE number 7822347
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Tweedie multivariate semi-parametric credibility with the exchangeable correlation
scientific article; zbMATH DE number 7822347

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    Tweedie multivariate semi-parametric credibility with the exchangeable correlation (English)
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    21 March 2024
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    The paper deals with credibility premiums for multiple coverages, assuming that these claims are described over time by the Tweedie distribution; claims are supposed to be independent, given the correlated random effects that accounts for unobserved heterogeneity in the policyholders' risk profiles. Possible dependence among the claims from multiple coverages are grasped through the joint distribution of the multivariate random effects that correspond to the coverages. After presenting the methodological framework, a simulation study and an empirical analysis are provided, based on a public dataset on insurance claims provided by Wisconsin Local Government Property Insurance Fund. Technical details are contained in the Appendix.
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    credibility premium
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    dependence modeling
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    multi-peril insurance
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    posterior ratemaking
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    Tweedie distribution
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