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Claim dependence with common effects in credibility models

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  • Yeo, Keng Leong
  • Valdez, Emiliano A.

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  • 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.
  • Handle: RePEc:eee:insuma:v:38:y:2006:i:3:p:609-629
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    References listed on IDEAS

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    1. Cossette, Helene & Gaillardetz, Patrice & Marceau, Etienne & Rioux, Jacques, 2002. "On two dependent individual risk models," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 153-166, April.
    2. 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.
    3. Genest, Christian & Marceau, Etienne & Mesfioui, Mhamed, 2003. "Compound Poisson approximations for individual models with dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 73-91, February.
    4. Albrecher Hansjörg & Kantor Josef, 2002. "Simulation of ruin probabilities for risk processes of Markovian type," Monte Carlo Methods and Applications, De Gruyter, vol. 8(2), pages 111-128, December.
    5. Purcaru, Oana & Denuit, Michel, 2003. "Dependence in Dynamic Claim Frequency Credibility Models," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(01), pages 23-40, May.
    6. Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 26(02), pages 201-212, November.
    7. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
    8. Dhaene, J. & Goovaerts, M. J., 1997. "On the dependency of risks in the individual life model," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 243-253, May.
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    1. repec:spr:stpapr:v:58:y:2017:i:3:d:10.1007_s00362-015-0719-6 is not listed on IDEAS
    2. Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne, 2009. "TVaR-based capital allocation with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 348-361, December.
    3. Cossette, Hélène & Côté, Marie-Pier & Marceau, Etienne & Moutanabbir, Khouzeima, 2013. "Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 560-572.
    4. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
    5. 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.

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