Pure robust versus robust portfolio unbiased -- credibility and asymptotic optimality

DOI10.1016/j.insmatheco.2013.01.008zbMath1284.91264OpenAlexW1971045073MaRDI QIDQ2442542

Georgios Pitselis

Publication date: 3 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.01.008

zbMATH Keywords

asymptotic optimalitypseudo-observationsempirical credibilityportfolio-unbiasednesspure robust

Mathematics Subject Classification ID

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

Related Items

Satisficing credibility for heterogeneous risks

Cites Work

• Robust regression credibility: The influence function approach
• Credibility evaluation for the exponential dispersion family
• Credibility theory: A new view from the theory of second order optimal statistics.
• On asymptotic optimality in empirical Bayes credibility.
• Empirical Bayes credibility
• Large claims in credibility
• Rates of risk convergence of empirical linear Bayes estimators
• Empirical linear Bayesian decision rules for a sequence of linear models with different eegressor matrices
• The Empirical Bayes Approach to Statistical Decision Problems
• Robust Statistics
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