Multivariate Latent Risk: A Credibility Approach

Martin Englund, Montserrat Guillén, Jim Gustafsson, Lars Hougaard Nielsen and Jens Perch Nielsen

ASTIN Bulletin, 2008, vol. 38, issue 1, 137-146

Abstract: We investigate a concept of multivariate pricing, which includes claim history for more than one line of business and is a generalization of the Bühlmann-Straub model. The multivariate credibility model is extended to allow for the age of claims to influence the estimation of future claims. The model is applied to data from a portfolio of commercial lines of business.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:38:y:2008:i:01:p:137-146_01

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