Dependence in Dynamic Claim Frequency Credibility Models
Dependence in Dynamic Claim Frequency Credibility Models
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DOI：
10.1017/s0515036100013283
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发表时间：
2003-05
期刊：
影响因子：
--
通讯作者：
O. Purcaru;M. Denuit
中科院分区：
文献类型：
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作者：
O. Purcaru;M. Denuit
在非寿险中，精算师通常借助随机效应来考虑无法解释的异质性（遵循比约尔曼 - 施特劳布模型的思路）。本文旨在研究在投保人所报告的年度索赔次数中引入相关潜在变量所导致的那种相关性。报告索赔对随机效应的后验分布的影响将被精确阐述。这将通过确定后验分布相对于索赔历史的某种随机单调性性质来实现。
In nonlife insurance, actuaries usually resort to random effects to take unexplained heterogeneity into account (in the spirit of the Bühlmann-Straub model). This paper aims to study the kind of dependence induced by the introduction of correlated latent variables in the annual numbers of claims reported by policyholders. The effect of reporting claims on the a posteriori distribution of the random effects will be made precise. This will be done by establishing some stochastic monotonicity property of the a posteriori distribution with respect to the claims history.