On the dependence induced by frequency credibility models - 2 : Dynamic random effects

Denuit, Michel;Purcaru, Oana
(2002)

Files

dp0203.pdf
  • Open Access
  • Adobe PDF
  • 246.11 KB
Download

Details

Authors
Abstract
In an effort to incorporate the date of claims in risk prediction, Pinquet, Guill ́en & Bolanc ́e (2001) specified a stationary process for the random effects. This paper aims to investigate the type of dependence induced by such a dynamic heterogeneity. Contrarily to the static case studied in Purcaru & Denuit (2001), the correlation structure between latent variables now crucially affects the association between claim numbers. In particular, taking comonotonic random effects gives the static credibility model considered by these authors, whereas taking different copulas yields various dependence structures.
Affiliations

Citations

  • APA
  • Chicago
  • FWB

Denuit, M., & Purcaru, O. (2002). On the dependence induced by frequency credibility models - 2 : Dynamic random effects (STAT Discussion Paper 0203). https://hdl.handle.net/2078.5/34998