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08/30/2023
A Classification of Observation-Driven State-Space Count Models for Panel Data
State-space models are widely used in many applications. In the domain o...
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10/18/2021
A simple Bayesian state-space model for the collective risk model
The collective risk model (CRM) for frequency and severity is an importa...
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09/16/2021
On the ordering of credibility factors
Traditional credibility analysis of risks in insurance is based on the r...
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06/02/2021
Optimal relativities in a modified Bonus-Malus system with long memory transition rules and frequency-severity dependence
In the classical Bonus-Malus System (BMS) in automobile insurance, the p...
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08/27/2020
A copula transformation in multivariate mixed discrete-continuous models
Copulas allow a flexible and simultaneous modeling of complicated depend...
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06/11/2020
On a Multi-Year Microlevel Collective Risk Model
For a typical insurance portfolio, the claims process for a short period...
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03/04/2020
Designing a Bonus-Malus system reflecting the claim size under the dependent frequency-severity model
In auto insurance, a Bonus-Malus System (BMS) is commonly used as a post...
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02/03/2020
Predictive Risk Analysis in Collective Risk Model: Choices between Historical Frequency and Aggregate Severity
Typical risk classification procedure in insurance is consists of a prio...
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10/23/2019
Double-Counting Problem of the Bonus-Malus System
The bonus-malus system (BMS) is a widely used premium adjustment mechani...
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06/09/2019
On Copula-based Collective Risk Models
Several collective risk models have recently been proposed by relaxing t...
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03/14/2019
Implementation of Frequency-Severity Association in BMS Ratemaking
A Bonus-Malus System (BMS) in insurance is a premium adjustment mechanis...
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11/12/2018
The Poisson random effect model for experience ratemaking: limitations and alternative solutions
Poisson random effect models with a shared random effect have been widel...
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09/17/2018
On Minimal Copulas under the Concordance Order
In the present paper, we study extreme negative dependence focussing on ...
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09/17/2018