A Spatial Cross-Sectional Credibility Model with Dependence Among Risks

Jimmy Poon and Yi Lu

North American Actuarial Journal, 2015, vol. 19, issue 4, 289-310

Abstract: A Bühlmann-Straub type credibility model with dependence structure among risk parameters and conditional spatial cross-sectional dependence is studied. Predictors of future losses for the model under both types of dependence are derived by minimizing the expected quadratic loss function, and nonparametric estimators of structural parameters are considered in the spatial statistics context. Predictions and estimations made for the proposed model are examined and compared to other models in an application with crop insurance data and in a simulation study.

Date: 2015
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DOI: 10.1080/10920277.2015.1063441

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