Satisficing credibility for heterogeneous risks

DOI10.1016/J.EJOR.2021.07.020MaRDI QIDQ2076853zbMATH OpenOpenAlexFDO

Authors K. C. Cheung, Sheung Chi Phillip Yam, Yiying Zhang

Publication date 22 February 2022

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2021.07.020

zbMATH Keywords

extreme value theoryregular variationrisk managementsatisficing methodsemi-linear credibility estimator

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cited in

(6)

• Exact credibility reference Bayesian premiums
• Credibility theory based on trimming
• Integrating prior information into Gini coefficient estimation: A credibility method
• Credibility Theory for Variance Premium Principle
• Experience rating of risk premium for Esscher premium principle
• Satisficing pooling insurance design

Describes a project that uses

Uses Software

• QRM

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