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

DOI10.1080/10920277.2007.10597473MaRDI QIDQ5019753zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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• Efficient and Robust Fitting of Lognormal Distributions
• Favorable Estimators for Fitting Pareto Models: A Study Using Goodness-of-fit Measures with Actual Data
• Influence functions of empirical nonparametric estimators of net reinsurance premiums
• On robustness in risk theory
• Robust Bayesian Credibility Using Semiparametric Models
• Robust Statistics
• Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
• The credibility approach to experience rating

Cited in

(12)

• A review on robust estimators applied to regression credibility
• 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

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