Multidimensional credibility estimators with random common effects and time effects

DOI10.1007/S11424-017-5268-8MaRDI QIDQ1697673zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3506085 (Why is no real title available?)
• A course in credibility theory and its applications
• Claim dependence induced by common effects in hierarchical credibility models
• Claim dependence with common effects in credibility models
• Credibility models with dependence structure over risks and time horizon
• Dependence in Dynamic Claim Frequency Credibility Models
• Linear models. Least squares and alternatives
• Multidimensional credibility models with a random common effect
• Multivariate Latent Risk: A Credibility Approach
• The credibility models with equal correlation risks
• 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.

Cited in

(5)

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

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