Credibility estimators with dependence structure over risks and time under balanced loss function

DOI10.1111/STAN.12125MaRDI QIDQ6089169zbMATH OpenOpenAlexWikidataFDO

Authors Ping Chen

Publication date 14 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/stan.12125

zbMATH Keywords

balanced loss functionBühlmann modelcredibility estimatordependence structureorthogonal projection

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• The credibility models with risks dependence structure under balanced loss function
• The credibility estimator with general dependence structure over risks
• Credibility models with dependence structure over risks and time horizon
• A credibility model under balanced loss functions
• The credibility models with risks dependence effects under MLINEX loss function
• The credibility estimate of risk premium under dependent risks
• The balanced credibility estimators with correlation risk and inflation factor
• The credibility estimators with inflation factor obtained under balanced exponential loss function
• scientific article; zbMATH DE number 6129999
• On weighted balanced loss function under the Esscher principle and credibility premiums

Cites work

• A course in credibility theory and its applications
• A generalization of the credibility theory obtained by using the weighted balanced loss function
• A longitudinal data analysis interpretation of credibility models
• Bayesian and robust Bayesian analysis under a general class of balanced loss functions
• Case Studies Using Panel Data Models
• Claim dependence induced by common effects in hierarchical credibility models
• Claim dependence with common effects in credibility models
• Constrained Bayes and empirical Bayes estimation under random effects normal ANOVA model with balanced loss function
• Constrained Bayes and Empirical Bayes Estimation with Balanced Loss Functions
• Credibility Using Copulas
• Decision theoretic foundations of credibility theory
• Dependence in Dynamic Claim Frequency Credibility Models
• Estimation of a normal mean relative to balanced loss functions
• Exponential dispersion models and credibility
• scientific article; zbMATH DE number 3551731 (Why is no real title available?)
• scientific article; zbMATH DE number 524365 (Why is no real title available?)
• scientific article; zbMATH DE number 6129999 (Why is no real title available?)
• scientific article; zbMATH DE number 3314912 (Why is no real title available?)
• Linear models. Least squares and alternatives
• On estimation with balanced loss functions
• The credibility estimator with general dependence structure over risks
• The credibility models with equal correlation risks
• The credibility models with risks dependence structure under balanced loss function
• The credibility premiums for models with dependence induced by common effects
• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.

Cited in

(3)

• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
• scientific article; zbMATH DE number 6129999 (Why is no real title available?)
• scientific article; zbMATH DE number 7366654 (Why is no real title available?)

This page was built for publication: Credibility estimators with dependence structure over risks and time under balanced loss function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6089169)