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A longitudinal data analysis interpretation of credibility models

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  • Frees, Edward W.
  • Young, Virginia R.
  • Luo, Yu

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  • Frees, Edward W. & Young, Virginia R. & Luo, Yu, 1999. "A longitudinal data analysis interpretation of credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 229-247, May.
    • Handle: RePEc:eee:insuma:v:24:y:1999:i:3:p:229-247
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    References listed on IDEAS

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    1. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-323, March.
    2. De Vylder, F., 1981. "Practical Credibility Theory with Emphasis on Optimal Parameter Estimation," ASTIN Bulletin, Cambridge University Press, vol. 12(2), pages 115-131, December.
    3. Nelder, J.A. & Verrall, R.J., 1997. "Credibility Theory and Generalized Linear Models," ASTIN Bulletin, Cambridge University Press, vol. 27(1), pages 71-82, May.
    4. Dannenburg, Dennis, 1994. "Some results on the estimation of the credibility factor in the classical Buhlmann model," Insurance: Mathematics and Economics, Elsevier, vol. 14(1), pages 39-50, April.
    5. Ledolter, Johannes & Klugman, Stuart & Lee, Chang-Soo, 1991. "Credibility Models with Time-Varying Trend Components," ASTIN Bulletin, Cambridge University Press, vol. 21(1), pages 73-91, April.
    6. Norberg, Ragnar, 1982. "On optimal parameter estimation in credibility," Insurance: Mathematics and Economics, Elsevier, vol. 1(2), pages 73-89, April.
    7. Kaas, Rob & Dannenburg, Dennis & Goovaerts, Marc, 1997. "Exact Credibility for Weighted Observations," ASTIN Bulletin, Cambridge University Press, vol. 27(2), pages 287-295, November.
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    Cited by:

    1. Wei Wang & Limin Wen & Zhixin Yang & Quan Yuan, 2020. "Quantile Credibility Models with Common Effects," Risks, MDPI, vol. 8(4), pages 1-10, September.
    2. Juvêncio Nobre & Julio Singer & Pranab Sen, 2013. "U-tests for variance components in linear mixed models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(4), pages 580-605, November.
    3. Katrien Antonio & Jan Beirlant, 2008. "Issues in Claims Reserving and Credibility: A Semiparametric Approach With Mixed Models," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(3), pages 643-676, September.
    4. Jeong, Himchan & Valdez, Emiliano A., 2020. "Predictive compound risk models with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 182-195.
    5. Genest Christian & Scherer Matthias, 2020. "Insurance applications of dependence modeling: An interview with Edward (Jed) Frees," Dependence Modeling, De Gruyter, vol. 8(1), pages 93-106, January.
    6. Badi H. Baltagi, 2008. "Forecasting with panel data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 153-173.
    7. Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2016. "Solvency capital requirement for a temporal dependent losses in insurance," Economic Modelling, Elsevier, vol. 58(C), pages 588-598.
    8. Katrien Antonio & Emiliano Valdez, 2012. "Statistical concepts of a priori and a posteriori risk classification in insurance," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 187-224, June.
    9. Baltagi, Badi H., 2013. "Panel Data Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 995-1024, Elsevier.
    10. Yeo, Keng Leong & Valdez, Emiliano A., 2006. "Claim dependence with common effects in credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 609-629, June.
    11. Yanwei Zhang & Vanja Dukic, 2013. "Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 891-919, December.
    12. Pitselis, Georgios, 2004. "A seemingly unrelated regression model in a credibility framework," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 37-54, February.
    13. Edward Frees & Jee-Seon Kim, 2006. "Multilevel Model Prediction," Psychometrika, Springer;The Psychometric Society, vol. 71(1), pages 79-104, March.
    14. Alicja Wolny-Dominiak & Tomasz Żądło, 2021. "The Measures of Accuracy of Claim Frequency Credibility Predictor," Sustainability, MDPI, vol. 13(21), pages 1-13, October.
    15. Antonio, Katrien & Beirlant, Jan, 2007. "Actuarial statistics with generalized linear mixed models," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 58-76, January.
    16. Frees, Edward W. & Miller, Thomas W., 2004. "Sales forecasting using longitudinal data models," International Journal of Forecasting, Elsevier, vol. 20(1), pages 99-114.
    17. Bolance, Catalina & Guillen, Montserrat & Pinquet, Jean, 2003. "Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 273-282, October.
    18. Genest Christian & Scherer Matthias, 2020. "Insurance applications of dependence modeling: An interview with Edward (Jed) Frees," Dependence Modeling, De Gruyter, vol. 8(1), pages 93-106, January.
    19. Yikai (Maxwell) Gong & Zhuangdi Li & Maria Milazzo & Kristen Moore & Matthew Provencher, 2018. "Credibility Methods for Individual Life Insurance," Risks, MDPI, vol. 6(4), pages 1-16, December.
    20. Paulsen, Jostein & Lunde, Astrid & Skaug, Hans Julius, 2008. "Fitting mixed-effects models when data are left truncated," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 121-133, August.
    21. Pitselis, Georgios, 2020. "Multi-stage nested classification credibility quantile regression model," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 162-176.
    22. Dornheim, Harald & Brazauskas, Vytaras, 2011. "Robust-efficient credibility models with heavy-tailed claims: A mixed linear models perspective," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 72-84, January.
    23. Andreas Bayerstadler & Franz Benstetter & Christian Heumann & Fabian Winter, 2014. "A predictive modeling approach to increasing the economic effectiveness of disease management programs," Health Care Management Science, Springer, vol. 17(3), pages 284-301, September.
    24. Wen, Limin & Wu, Xianyi & Zhou, Xian, 2009. "The credibility premiums for models with dependence induced by common effects," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 19-25, February.
    25. Frees, Edward W. & Wang, Ping, 2006. "Copula credibility for aggregate loss models," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 360-373, April.

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