Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective

DOI10.1016/J.INSMATHECO.2010.09.007zbMATH Open1233.91142OpenAlexW3121515208MaRDI QIDQ2276207FDOQ2276207

Authors: Harald Dornheim, Vytaras Brazauskas 

Publication date: 1 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.09.007

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zbMATH Keywords

mixed linear modeladaptive robust-efficient estimationasymmetric heavy-tailed residualscredibility ratemakingtreatment of excess claims

Mathematics Subject Classification ID

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

Cites Work

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Cited In (10)

• On linear mixed models and their influence diagnostics applied to an actuarial problem
• Evolutionary Credibility Theory
• The pure robust credibility estimation under the maximum entropy method
• Robust and efficient methods for credibility when claims are approximately gamma-distributed
• Credibility theory based on winsorizing
• Robust regression credibility: The influence function approach
• Satisficing credibility for heterogeneous risks
• Robust-efficient fitting of mixed linear models: methodology and theory
• A Bühlmann credibility approach to modeling mortality rates
• A review on robust estimators applied to regression credibility

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