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Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors

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  • Cossette, Helene
  • Luong, Andrew

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  • Cossette, Helene & Luong, Andrew, 2003. "Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 281-293, April.
    • Handle: RePEc:eee:insuma:v:32:y:2003:i:2:p:281-293
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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. Norberg, Ragnar, 1982. "On optimal parameter estimation in credibility," Insurance: Mathematics and Economics, Elsevier, vol. 1(2), pages 73-89, April.
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    Cited by:

    1. 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.
    2. Lo, Chi Ho & Fung, Wing Kam & Zhu, Zhong Yi, 2006. "Generalized estimating equations for variance and covariance parameters in regression credibility models," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 99-113, August.

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