Credibility Models with Time-Varying Trend Components

Johannes Ledolter · Stuart A. Klugman

36 citations0/0 files storedAstin Bulletin

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Insurance and Financial Risk Management Insurance, Mortality, Demography, Risk Management

Abstract

Abstract Traditional credibility models have treated the process generating the losses as stable over time, perhaps with a deterministic trend imposed. However, there is ample evidence that these processes are not stable over time. What is required is a method that allows for time-varying parameters in the process, yet still provides the shrinkage needed for sound ratemaking. In this paper we use an automobile insurance example to illustrate how this can be accomplished.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 36 citations exist upstream.

References

1977Time Series Analysis: Forecasting and Control 1977Time Series Analysis: Forecasting and Control 1983Statistical Methods for Forecasting 1984Statistical Methods for Forecasting.1971Statistical Inference in Random Coefficient Regression Models 1976Forecasting Transformed Series 1983Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study 1984A unified view of statistical forecasting procedures

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.