Multivariate Credibility for Aggregate Loss Models

DOI10.1080/10920277.2003.10596074MaRDI QIDQ5715902zbMATH OpenOpenAlexFDO

Authors Edward W. Frees

Publication date 5 January 2006

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

Full work available at URL https://doi.org/10.1080/10920277.2003.10596074

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A general framework for credibility prediction of multidimensional first and second moments
• A longitudinal data analysis interpretation of credibility models
• Abstract credibility
• Case Studies Using Panel Data Models
• Credibility Theory
• Empirical Bayes credibility
• Enriched multinormal priors revisited
• Extension of the Gauss-Markov theorem to include the estimation of random effects
• Hierarchical credibility: analysis of a random effect linear model with nested classification
• scientific article; zbMATH DE number 1128584 (Why is no real title available?)
• Pseudo Maximum Likelihood Methods: Theory

Cited in

(19)

• A seemingly unrelated regression model in a credibility framework.
• Multivariate longitudinal modeling of insurance company expenses
• Copula credibility for aggregate loss models
• Predictive risk analysis using a collective risk model: choosing between past frequency and aggregate severity information
• Multivariate Latent Risk: A Credibility Approach
• Credibility pseudo-estimators
• A posteriori ratemaking using bivariate Poisson models
• Aggregate claim estimation using bivariate hidden Markov model
• Credibility for severity revisited
• Bayesian modelling of health insurance losses
• Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations
• Multivariate Cox hidden Markov models with an application to operational risk
• Credibility in Loss Reserving
• A Bühlmann credibility approach to modeling mortality rates
• Using convex combination of copulas and EM algorithm for credibility
• Credibility Using Copulas
• Forecasting aggregate claims using score‐driven time series models
• Robust claim frequency modeling through phase-type mixture-of-experts regression
• Multidimensional credibility: a new approach based on joint distribution function

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