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

DOI10.1016/J.INSMATHECO.2021.06.003MaRDI QIDQ2234765zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
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• Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance
• Does hunger for bonuses drive the dependence between claim frequency and severity?
• Double Hierarchical Generalized Linear Models (With Discussion)
• Generalized linear models for dependent frequency and severity of insurance claims
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• Predictive compound risk models with dependence
• Properties and applications of the sarmanov family of bivariate distributions
• Summarizing insurance scores using a Gini index
• The net Bayes premium with dependence between the risk profiles

Cited in

(9)

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

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