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
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