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

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

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Cited in

(8)

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

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