Regression credibility estimator with two-level common effects

被引：0
|
作者：
Zhang, Qiang [1 ]
Chen, Ping [1 ]
机构：
[1] Nanjing Univ Sci & Technol, Sch Sci, Nanjing 210094, Jiangsu, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2021年 / 50卷 / 04期
关键词：
Regression credibility; common effect; credibility estimator; orthogonal projection; Primary; Secondary; DEPENDENCE; MODELS; PARAMETERS;
D O I：
10.1080/03610926.2019.1643887
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we extend the regression credibility model to account for a type of dependence structures over individual risks and portfolio risks induced by common effects. By using orthogonal projection approach, the corresponding credibility estimators are derived, which extend those for the existing models to slightly more general versions. Finally, a numerical example is presented to show the effectiveness of the regression credibility estimator.
引用
收藏
页码：910 / 931
页数：22
相关论文
共 50 条
  • [21] The effects of individual and cultural factors on digital inclusion in European countries: a two-level regression analysis
    Rantanen, Teemu
    Toikko, Timo
    INTERNATIONAL JOURNAL OF SOCIOLOGY AND SOCIAL POLICY, 2024, 44 (13/14) : 146 - 162
  • [22] Transition to a Two-Level Linear State Estimator-Part II: Algorithm
    Yang, Tao
    Sun, Hongbin
    Bose, Anjan
    IEEE TRANSACTIONS ON POWER SYSTEMS, 2011, 26 (01) : 54 - 62
  • [23] Transition to a Two-Level Linear State Estimator-Part I: Architecture
    Yang, Tao
    Sun, Hongbin
    Bose, Anjan
    IEEE TRANSACTIONS ON POWER SYSTEMS, 2011, 26 (01) : 46 - 53
  • [24] Memory effects in the two-level model for glasses
    Aquino, Gerardo
    Allahverdyan, Armen
    Nieuwenhuizen, Theo M.
    PHYSICAL REVIEW LETTERS, 2008, 101 (01)
  • [25] Two-level quantile regression forests for bias correction in range prediction
    Thanh-Tung Nguyen
    Huang, Joshua Z.
    Thuy Thi Nguyen
    MACHINE LEARNING, 2015, 101 (1-3) : 325 - 343
  • [26] Optimal Design for Two-Level Random Assignment and Regression Discontinuity Studies
    Rhoads, Christopher H.
    Dye, Charles
    JOURNAL OF EXPERIMENTAL EDUCATION, 2016, 84 (03): : 421 - 448
  • [27] Two-Level Regression Method Using Ensembles of Trees with Optimal Divergence
    Yu. I. Zhuravlev
    O. V. Senko
    A. A. Dokukin
    N. N. Kiselyova
    I. A. Saenko
    Doklady Mathematics, 2021, 104 : 212 - 215
  • [28] Two-level quantile regression forests for bias correction in range prediction
    Thanh-Tung Nguyen
    Joshua Z. Huang
    Thuy Thi Nguyen
    Machine Learning, 2015, 101 : 325 - 343
  • [29] Two-level independent component regression model for multivariate spectroscopic calibration
    Zheng, Junhua
    Song, Zhihuan
    CHEMOMETRICS AND INTELLIGENT LABORATORY SYSTEMS, 2016, 155 : 160 - 169
  • [30] Two-Level Regression Method Using Ensembles of Trees with Optimal Divergence
    Zhuravlev, Yu. I.
    Senko, O. V.
    Dokukin, A. A.
    Kiselyova, N. N.
    Saenko, I. A.
    DOKLADY MATHEMATICS, 2021, 104 (01) : 212 - 215
12345