Large claims in credibility

DOI10.1007/BF02808800MaRDI QIDQ3984201zbMATH OpenFDO

Authors Erhard Kremer

Publication date 27 June 1992

Published in Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

outliersregression modelrobust estimationM-estimatorscredibility theorylarge claimsL-estimatorsexperience ratingBuehlmann- Straub model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

Recommendations

• Applying robust scale \(M\)-estimators to compute creditability premiums in the large claim case.
• Robust Bayesian Experience Rating
• Robust regression credibility: The influence function approach
• Robust and efficient methods for credibility when claims are approximately gamma-distributed
• A review on robust estimators applied to regression credibility

Cites work

• scientific article; zbMATH DE number 3881695 (Why is no real title available?)
• scientific article; zbMATH DE number 3825010 (Why is no real title available?)
• scientific article; zbMATH DE number 3926045 (Why is no real title available?)
• scientific article; zbMATH DE number 3714794 (Why is no real title available?)
• scientific article; zbMATH DE number 3551731 (Why is no real title available?)
• scientific article; zbMATH DE number 3314912 (Why is no real title available?)
• An unbayesed approach to credibility
• Empirical Bayes credibility
• On optimal parameter estimation in credibility
• On robust premium principles
• On the robustness of premium principles
• Practical models in credibility theory, including parameter estimation

Cited in

(10)

• Pure robust versus robust portfolio unbiased -- credibility and asymptotic optimality
• Applying robust scale \(M\)-estimators to compute creditability premiums in the large claim case.
• Dynamic credibility with outliers and missing observations
• Modeling large claims in non-life insurance
• Robust regression credibility: The influence function approach
• Propaganda and credulity
• A review on robust estimators applied to regression credibility
• Robust Bayesian Experience Rating
• Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
• Robust and efficient methods for credibility when claims are approximately gamma-distributed

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