Multivariate Latent Risk: A Credibility Approach
Year: 2008
Type: article
Abstract: We investigate a concept of multivariate pricing, which includes claim history for more than one line of business and is a generalization of the Bühlmann-Straub model. The multivariate credibility model is extended to allow for the age of claims to influence the estimation of future claims. The model is applied to data from a portfolio of commercial lines of business.
Source: Astin Bulletin
Authors: Martin Englund, Montserrat Guillén, Jim Gustafsson, Lars Hougaard Nielsen, Jens Perch Nielsen
Institutions: Universitat de Barcelona, University of Copenhagen
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3124374952