Bayesian credibility under a bivariate prior on the frequency and the severity of claims

DOI10.1016/J.INSMATHECO.2021.06.003zbMATH Open1471.91453OpenAlexW3177320569MaRDI QIDQ2234765FDOQ2234765

Authors: Eric C. K. Cheung, Weihong Ni, Rosy Oh, Jae-Kyung Woo 

Publication date: 19 October 2021

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.06.003

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zbMATH Keywords

exponential familybivariate betaBayesian credibilitybivariate conjugate priorbivariate mixed Erlang

Mathematics Subject Classification ID

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

Cites Work

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• Bivariate credibility bonus-malus premiums distinguishing between two types of claims
• Predictive compound risk models with dependence
• Loss models. From data to decisions
• Pair copula constructions for insurance experience rating

Cited In (9)

• Bayesian credibility premium with GB2 copulas
• The net Bayes premium with dependence between the risk profiles
• Effective experience rating for large insurance portfolios via surrogate modeling
• A bivariate model of claim frequencies and severities
• Dependence in Dynamic Claim Frequency Credibility Models
• Conformal Prediction Credibility Intervals
• A simple Bayesian state-space approach to the collective risk models
• Designing a bonus-malus system reflecting the claim size under the dependent frequency-severity model
• Bayesian credibility model with heavy tail random variables: calibration of the prior and application to natural disasters and cyber insurance

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