The Credibility Estimator with General Dependence Structure Over Risks

Wen, Limin; Wu, X.

doi:10.1080/03610921003650440

Cited by 8 publications

(2 citation statements)

References 11 publications

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“…Fung, et al (2008) proposed a linear mixed model, which is relating to two-way CCCM. Wen and Wu (2011) presented a study on the independence between risk parameters. Poon and Lu (2015) proposed conditional cross-sectional covariance with general dependence via the Bühlmann-Straub credibility model.…”

Section: Introductionmentioning

confidence: 99%

An R Package For Crossed Classification Credibility Model: Application Regarding Non-Performing Loan

Altan,

Özdemir,

Ebegil

2023

The Journal of International Scientific Researches

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Credibility theory, which is used to determine the premium in the non-life branches of insurance, is a calculation method which is used for making weighted estimation of balanced allocation between past and recent period data. The procedure of weighting is done with the Z credibility factor. There are miscellaneous methods which are named as credibility models to determine Z value. One of these models is Crossed Classification Credibility Model, which is introduced by Dannenburg (1995). In this model, an insurance portfolio is subdivided by two qualitative risk factors, modeled in symmetrical way. Especially, this model offers an alternative method when data are unclassifiable hierarchically. Simultaneously, this model considers the joint and separates the effects of risk factors. To predict the premiums in this model, variance components are obtained by solving the linear equation system must be calculated. However, this system cannot be solved explicitly. Also, too many parameters must be calculated for the premium estimation. Here, calculation errors can occur, and it is very difficult to find the correct results. Moreover, there is no tool that can easily perform these operations on a computer. In this study, the R package cccm has been developed to calculate the structural parameters easily, quickly, and accurately for Crossed Classification Credibility Model. Package cccm explained step by step for the users interested in to solve Crossed Classification Credibility problems.

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Section: Introductionmentioning

confidence: 99%

An R Package For Crossed Classification Credibility Model: Application Regarding Non-Performing Loan

Altan,

Özdemir,

Ebegil

2023

The Journal of International Scientific Researches

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“…Actually, it has been recognized that there exist many important insurance scenarios where this dominant assumption is violated. There have been many remarkable efforts in the existing literature to investigate the influences of dependent risks in various aspects, including Yeo and Valdez (2006), Wen et al (2009), andEbrahimzadeh et al (2013), who introduced common effects to induce claim dependence and investigated the corresponding credibility estimators; Wen and Deng (2011), who proposed a rather special credibility model with equal correlation structure over the risks and considered the estimation of the structure parameters; and Wen and Wu (2011), who studied the Bühlmann, Bühlmann-Straub, and Hachemeister regression credibility models under a general dependence structure over risks that is characterized by a positive definite matrix, among others. On the other hand, certain conditional dependence over time has been recognized by many researchers, for instance, Gerber and Jones (1975), Frees et al (1999Frees et al ( , 2001, Bolancé et al (2003), Denuit (2002, 2003), Frees and Wang (2005), and the references therein.…”

Section: Introductionmentioning

confidence: 99%

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

Zhang

Chen

2018

Statistica Neerlandica

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In this paper, we study the Bühlmann credibility model with constant interest rate and equal dependence structure over risks and time under balanced loss function. By means of orthogonal projection, the inhomogeneous and homogeneous credibility premium estimators are derived, which extend those for the existing models to slightly more general versions. Finally, we investigate the estimation of the structure parameters and present a numerical example to show the effectiveness of the inhomogeneous estimator.

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The balanced credibility estimators with correlation risk and inflation factor

Zhang

Cui

2015

Stat Papers

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The Credibility Estimator with General Dependence Structure Over Risks

Cited by 8 publications

References 11 publications

An R Package For Crossed Classification Credibility Model: Application Regarding Non-Performing Loan

An R Package For Crossed Classification Credibility Model: Application Regarding Non-Performing Loan

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

The balanced credibility estimators with correlation risk and inflation factor

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