Applying robust scale M-estimators to compute creditability premiums in the large claim case.

MaRDI QIDQ3603746zbMATH OpenFDO

Authors Annett Keller

Publication date 18 February 2009

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Recommendations

• Robust and efficient methods for credibility when claims are approximately gamma-distributed
• Large claims in credibility
• Robust regression credibility: The influence function approach
• On robustness in risk theory
• A review on robust estimators applied to regression credibility

Cited in

(7)

• Pure robust versus robust portfolio unbiased -- credibility and asymptotic optimality
• On robust premium principles
• Robust regression credibility: The influence function approach
• Berücksichtigung von Groβschäden in der Kalkulation bei strukturierten Beständen
• A review on robust estimators applied to regression credibility
• Robust Bayesian Experience Rating
• Robust and efficient methods for credibility when claims are approximately gamma-distributed

This page was built for publication: Applying robust scale \(M\)-estimators to compute creditability premiums in the large claim case.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3603746)