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Generalized estimating equations for variance and covariance parameters in regression credibility models

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  • Lo, Chi Ho
  • Fung, Wing Kam
  • Zhu, Zhong Yi

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  • 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.
    • Handle: RePEc:eee:insuma:v:39:y:2006:i:1:p:99-113
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    References listed on IDEAS

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    1. Joseph Hilbe, 1993. "Generalized linear models," Stata Technical Bulletin, StataCorp LP, vol. 2(11).
    2. 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.
    3. 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.
    4. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-323, March.
    5. 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.
    6. Xuming He, 2002. "Estimation in a semiparametric model for longitudinal data with unspecified dependence structure," Biometrika, Biometrika Trust, vol. 89(3), pages 579-590, August.
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