Bayesian credibility premium with GB2 copulas

DOI10.1515/DEMO-2020-0009MaRDI QIDQ828062zbMATH OpenOpenAlexFDO

Authors Himchan Jeong, Emiliano A. Valdez

Publication date 14 January 2021

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2020-0009

zbMATH Keywords

Bayesian posteriorgeneralized beta of the second kind (GB2) and its copulageneralized Pareto (GP)hierarchical modelsinsurance credibility

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Credibility Using Copulas
• Bayesian credibility for GLMs
• Credibility estimation of distribution functions with applications to experience rating in general insurance
• Bayesian credibility under a bivariate prior on the frequency and the severity of claims
• Some Bayesian credibility premiums obtained by using posterior regret \(\Gamma\)-minimax methodology

Cites work

• A course in credibility theory and its applications
• A generalized beta copula with applications in modeling multivariate long-tailed data
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Parametric Empirical Bayes Inference: Theory and Applications
• Regression models for positive random variables
• Statistical decision theory and Bayesian analysis. 2nd ed
• Understanding Relationships Using Copulas

Cited in

(5)

• Bayesian credibility for GLMs
• Predictive compound risk models with dependence
• On Bayesian Mixture Credibility
• Credibility estimation of distribution functions with applications to experience rating in general insurance
• Credibility Using Copulas

This page was built for publication: Bayesian credibility premium with GB2 copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q828062)