Multidimensional credibility estimators with random common effects and time effects

DOI10.1007/S11424-017-5268-8zbMATH Open1409.91145OpenAlexW2599746325MaRDI QIDQ1697673FDOQ1697673

Authors: Qiang Zhang, Qianqian Cui, Ping Chen 

Publication date: 20 February 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-5268-8

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zbMATH Keywords

time effectscredibility estimatorcommon effectsmultidimensional credibility

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Linear models. Least squares and alternatives
• A course in credibility theory and its applications
• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
• The credibility premiums for models with dependence induced by common effects
• Dependence in Dynamic Claim Frequency Credibility Models
• Title not available (Why is that?)
• Claim dependence with common effects in credibility models
• The credibility models with equal correlation risks
• Credibility models with dependence structure over risks and time horizon
• Claim dependence induced by common effects in hierarchical credibility models
• Multivariate Latent Risk: A Credibility Approach
• Multidimensional credibility models with a random common effect

Cited In (4)

• Regression credibility estimator with two-level common effects
• Unbiased estimation of structural parameters in credibility models with dependence induced by common effects
• Multidimensional balanced credibility model with time effect and two level random common effects
• Multidimensional credibility models with a random common effect

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