Multivariate Credibility for Aggregate Loss Models

DOI10.1080/10920277.2003.10596074zbMATH Open1084.62110OpenAlexW2151557128MaRDI QIDQ5715902FDOQ5715902

Authors: Edward W. Frees 

Publication date: 5 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596074

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Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Pseudo Maximum Likelihood Methods: Theory
• Title not available (Why is that?)
• A longitudinal data analysis interpretation of credibility models
• Extension of the Gauss-Markov theorem to include the estimation of random effects
• Empirical Bayes credibility
• Enriched multinormal priors revisited
• Hierarchical credibility: analysis of a random effect linear model with nested classification
• Case Studies Using Panel Data Models
• A general framework for credibility prediction of multidimensional first and second moments
• Credibility Theory
• Abstract credibility

Cited In (19)

• Credibility pseudo-estimators
• Multivariate Latent Risk: A Credibility Approach
• A posteriori ratemaking using bivariate Poisson models
• Multivariate longitudinal modeling of insurance company expenses
• Multivariate Cox hidden Markov models with an application to operational risk
• Credibility for severity revisited
• Credibility in Loss Reserving
• Bayesian modelling of health insurance losses
• Predictive risk analysis using a collective risk model: choosing between past frequency and aggregate severity information
• Using convex combination of copulas and EM algorithm for credibility
• Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations
• Aggregate claim estimation using bivariate hidden Markov model
• Credibility Using Copulas
• Forecasting aggregate claims using score‐driven time series models
• Robust claim frequency modeling through phase-type mixture-of-experts regression
• A seemingly unrelated regression model in a credibility framework.
• Multidimensional credibility: a new approach based on joint distribution function
• Copula credibility for aggregate loss models
• A Bühlmann credibility approach to modeling mortality rates

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