Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors

DOI10.1016/S0167-6687(03)00112-4MaRDI QIDQ1413397zbMATH OpenOpenAlexFDO

Authors Hélène Cossette, Andrew Luong

Publication date 16 November 2003

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-6687(03)00112-4

zbMATH Keywords

credibility factorempirical Bayes estimatorsgeneralized least squares estimatorsHachemeister regression modelmoving average errorsvariance components models

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Empirical Bayes credibility
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• On optimal parameter estimation in credibility
• Simultaneous Estimation of Parameters in Different Linear Models and Applications to Biometric Problems

Cited in

(4)

• Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
• Generalized estimating equations for variance and covariance parameters in regression credibility models
• Structural Parameter Estimation Using Generalized Estimating Equations for Regression Credibility Models
• Quadratic estimators of covariance components in a multivariate mixed linear model

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