The credibility estimator with general dependence structure over risks

DOI10.1080/03610921003650440MaRDI QIDQ3015902zbMATH OpenOpenAlexFDO

Authors Limin Wen, Xianyi Wu

Publication date 13 July 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610921003650440

zbMATH Keywords

projectioncredibility premiumregression credibility model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A course in credibility theory and its applications
• A new characterization of distortion premiums via countable additivity for comonotonic risks
• Claim dependence with common effects in credibility models
• Generalized correlation order and stop-loss order
• Stop-loss order for portfolios of dependent risks
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The credibility premiums for models with dependence induced by common effects

Cited in

(27)

• Rekursive SchÄtzverfahren in der KredibilitÄtstheorie
• The credibility estimate of risk premium under dependent risks
• Claim dependence with common effects in credibility models
• Credibility estimators with dependence structure over risks and time under balanced loss function
• scientific article; zbMATH DE number 6847560 (Why is no real title available?)
• A Spatial Cross-Sectional Credibility Model with Dependence Among Risks
• Regression credibility estimator with two-level common effects
• The Bühlmann credibility models with dependent risk structure
• Unbiased estimation of structural parameters in credibility models with dependence induced by common effects
• Structural Parameter Estimation Using Generalized Estimating Equations for Regression Credibility Models
• The credibility models with risks dependence structure under balanced loss function
• The credibility premiums for models with dependence induced by common effects
• The credibility models with risks dependence effects under MLINEX loss function
• Credibility models with dependence structure over risks and time horizon
• The pure robust credibility estimation under the maximum entropy method
• scientific article; zbMATH DE number 718677 (Why is no real title available?)
• Improved estimation of IBNR claims by credibility theory
• A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates
• The balanced credibility estimators with correlation risk and inflation factor
• Credibility models with uniform error dependence
• Credibility Using Copulas
• The credibility models with equal correlation risks
• Claim dependence induced by common effects in hierarchical credibility models
• The structure of the distribution of a couple of observable random variables in credibility theory
• Multidimensional balanced credibility model with time effect and two level random common effects
• Estimation of structural parameters in balanced Bühlmann credibility model with correlation risk
• Regression credibility models with random common effects

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