Regression credibility estimator with two-level common effects

Qiang Zhang and Ping Chen

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 4, 910-931

Abstract: In this paper, we extend the regression credibility model to account for a type of dependence structures over individual risks and portfolio risks induced by common effects. By using orthogonal projection approach, the corresponding credibility estimators are derived, which extend those for the existing models to slightly more general versions. Finally, a numerical example is presented to show the effectiveness of the regression credibility estimator.

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2019.1643887 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:50:y:2021:i:4:p:910-931

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2019.1643887

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().