Regression credibility estimator with two-level common effects

DOI10.1080/03610926.2019.1643887MaRDI QIDQ5079455zbMATH OpenOpenAlexWikidataFDO

Authors Qiang Zhang, Ping Chen

Publication date 27 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1643887

zbMATH Keywords

common effectcredibility estimatororthogonal projectionregression credibility

Mathematics Subject Classification ID

Statistics (62-XX) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial and insurance mathematics (aspects of mathematics education) (97M30)

Cites work

• A course in credibility theory and its applications
• A longitudinal data analysis interpretation of credibility models
• A multi-level hierarchical credibility regression model
• Case Studies Using Panel Data Models
• Claim dependence induced by common effects in hierarchical credibility models
• Claim dependence with common effects in credibility models
• Credibility models with dependence structure over risks and time horizon
• Dependence in Dynamic Claim Frequency Credibility Models
• Efficient Inference in a Random Coefficient Regression Model
• Generalized estimating equations for variance and covariance parameters in regression credibility models
• Hierarchical credibility: analysis of a random effect linear model with nested classification
• scientific article; zbMATH DE number 3314912 (Why is no real title available?)
• Linear models. Least squares and alternatives
• Multidimensional credibility estimators with random common effects and time effects
• Simultaneous Estimation of Parameters in Different Linear Models and Applications to Biometric Problems
• The credibility estimator with general dependence structure over risks
• 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

(1)

• Unbiased estimation of structural parameters in credibility models with dependence induced by common effects

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