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

zbMATH Open1271.91005MaRDI QIDQ3603746FDOQ3603746

Authors: Annett Keller 

Publication date: 18 February 2009

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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)

Cited In (7)

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

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