Multivariate Credibility for Aggregate Loss Models

DOI10.1080/10920277.2003.10596074zbMath1084.62110OpenAlexW2151557128MaRDI QIDQ5715902

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

Mathematics Subject Classification ID

Related Items (10)

Credibility pseudo-estimators ⋮ Predictive risk analysis using a collective risk model: choosing between past frequency and aggregate severity information ⋮ A posteriori ratemaking using bivariate Poisson models ⋮ Robust claim frequency modeling through phase-type mixture-of-experts regression ⋮ A Bühlmann Credibility Approach to Modeling Mortality Rates ⋮ A seemingly unrelated regression model in a credibility framework. ⋮ Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations ⋮ Credibility Using Copulas ⋮ Copula credibility for aggregate loss models ⋮ Credibility for Severity Revisited

Cites Work

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• Enriched multinormal priors revisited
• Extension of the Gauss-Markov theorem to include the estimation of random effects
• A longitudinal data analysis interpretation of credibility models
• A general framework for credibility prediction of multidimensional first and second moments
• Pseudo Maximum Likelihood Methods: Theory
• Hierarchical credibility: analysis of a random effect linear model with nested classification
• Empirical Bayes credibility
• Abstract credibility
• Case Studies Using Panel Data Models
• Credibility Theory

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