Robust and efficient methods for credibility when claims are approximately gamma-distributed

DOI10.1080/10920277.2007.10597473zbMATH Open1477.91045OpenAlexW2016783482MaRDI QIDQ5019753FDOQ5019753

Authors: Harald Dornheim, Vytaras Brazauskas 

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597473

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Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Robust Statistics
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• Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
• Efficient and Robust Fitting of Lognormal Distributions
• Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
• Title not available (Why is that?)
• The credibility approach to experience rating
• Title not available (Why is that?)
• On robustness in risk theory
• Title not available (Why is that?)
• Robust Bayesian Credibility Using Semiparametric Models
• Influence functions of empirical nonparametric estimators of net reinsurance premiums

Cited In (12)

• Robust heavy-tailed versions of generalized linear models with applications in actuarial science
• Dynamic credibility with outliers and missing observations
• Robust paradigm applied to parameter reduction in actuarial triangle models
• Robust Bayesian Experience Rating
• Robust and efficient fitting of severity models and the method of winsorized moments
• Robust fitting of claim severity distributions and the method of trimmed moments
• Applying robust scale \(M\)-estimators to compute creditability premiums in the large claim case.
• The pure robust credibility estimation under the maximum entropy method
• Credibility theory based on winsorizing
• Maximum weighted likelihood estimator for robust heavy-tail modelling of finite mixture models
• Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
• A review on robust estimators applied to regression credibility

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