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A Spatial Cross-Sectional Credibility Model with Dependence Among Risks

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  • Jimmy Poon
  • Yi Lu

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.

Suggested Citation

  • Jimmy Poon & Yi Lu, 2015. "A Spatial Cross-Sectional Credibility Model with Dependence Among Risks," North American Actuarial Journal, Taylor & Francis Journals, vol. 19(4), pages 289-310, October.
    • Handle: RePEc:taf:uaajxx:v:19:y:2015:i:4:p:289-310
    DOI: 10.1080/10920277.2015.1063441
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