The credibility estimator with general dependence structure over risks

DOI10.1080/03610921003650440zbMATH Open1216.62160OpenAlexW2083464418MaRDI QIDQ3015902FDOQ3015902

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

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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)

Cites Work

• The concept of comonotonicity in actuarial science and finance: theory.
• A course in credibility theory and its applications
• Stop-loss order for portfolios of dependent risks
• The concept of comonotonicity in actuarial science and finance: applications.
• The credibility premiums for models with dependence induced by common effects
• 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

Cited In (27)

• Rekursive SchÄtzverfahren in der KredibilitÄtstheorie
• Credibility estimators with dependence structure over risks and time under balanced loss function
• The credibility estimate of risk premium under dependent risks
• Claim dependence with common effects in credibility models
• Title not available (Why is that?)
• 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 models with risks dependence effects under MLINEX loss function
• The credibility premiums for models with dependence induced by common effects
• Credibility models with dependence structure over risks and time horizon
• The pure robust credibility estimation under the maximum entropy method
• Title not available (Why is that?)
• A multi-dimensional Bühlmann credibility approach to modeling multi-population mortality rates
• Improved estimation of IBNR claims by credibility theory
• Credibility models with uniform error dependence
• The balanced credibility estimators with correlation risk and inflation factor
• Credibility Using Copulas
• Claim dependence induced by common effects in hierarchical credibility models
• The credibility models with equal correlation risks
• Multidimensional balanced credibility model with time effect and two level random common effects
• The structure of the distribution of a couple of observable random variables in credibility theory
• Estimation of structural parameters in balanced Bühlmann credibility model with correlation risk
• Regression credibility models with random common effects

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