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

DOI10.1016/j.insmatheco.2010.09.007zbMath1233.91142MaRDI QIDQ2276207

Vytaras Brazauskas, Harald Dornheim

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

zbMATH Keywords

mixed linear model; adaptive robust-efficient estimation; asymmetric heavy-tailed residuals; credibility ratemaking; treatment of excess claims

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Robust-efficient fitting of mixed linear models: methodology and theory

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