Multidimensional balanced credibility model with time effect and two level random common effects

DOI10.3934/JIMO.2019004MaRDI QIDQ2190269zbMATH OpenOpenAlexWikidataFDO

Authors Qiang Zhang, Ping Chen

Publication date 18 June 2020

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2019004

zbMATH Keywords

balanced loss functioncommon effectmultidimensional credibilityorthogonal projectiontime effect

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites work

• A course in credibility theory and its applications
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• A longitudinal data analysis interpretation of credibility models
• Case Studies Using Panel Data Models
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• Claim dependence with common effects in credibility models
• Credibility models with dependence structure over risks and time horizon
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• Dependence in Dynamic Claim Frequency Credibility Models
• Estimation of a normal mean relative to balanced loss functions
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• Linear models. Least squares and alternatives
• Multidimensional credibility estimators with random common effects and time effects
• Multidimensional credibility models with a random common effect
• Multivariate Latent Risk: A Credibility Approach
• On estimation with balanced loss functions
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• The balanced credibility estimators with correlation risk and inflation factor
• The credibility estimator with general dependence structure over 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

(3)

• Multidimensional credibility estimators with random common effects and time effects
• Multidimensional credibility models with a random common effect
• Multidimensional credibility: a new approach based on joint distribution function

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