Evolutionary credibility risk premium

DOI10.1016/J.INSMATHECO.2020.04.015MaRDI QIDQ784440zbMATHOpenAlexFDO

Authors Yongzhao Chen, K. C. Cheung, Hugo Ming Cheung Choi, Sheung Chi Phillip Yam

Publication date 3 August 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.04.015

zbMATH Keywords

ARMAcredibility theory\(LU\) factorizationrisk-loaded premiumvariance (shrinkage) estimatorBühlmann's evolutionary model

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• A course in credibility theory and its applications
• A multivariate evolutionary credibility model for mortality improvement rates
• Bayesian credibility for GLMs
• Credibility theory based on trimming
• Credibility theory for some evolutionary models
• Credible risk measures with applications in actuarial sciences and finance
• Evolutionary Credibility Theory
• Invariantly recursive credibility estimation
• Mean-Variance Optimal Reinsurance Arrangements
• Optimal Shrinkage Estimation in Heteroscedastic Hierarchical Linear Models
• Optimal shrinkage estimation of mean parameters in family of distributions with quadratic variance
• Quantile credibility models
• Recursive credibility estimation
• Reinsurance. Actuarial and statistical aspects
• Risk measures in a quantile regression credibility framework with Fama/French data applications

Cited in

(4)

• Box-Jenkins credibility
• Risk and evolution
• A general optimal approach to Bühlmann credibility theory
• Evolution, heritable risk, and skewness loving

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