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Multivariate Latent Risk: A Credibility Approach
Published online by Cambridge University Press: 17 April 2015
Abstract
We investigate a concept of multivariate pricing, which includes claim history for more than one line of business and is a generalization of the Bühlmann-Straub model. The multivariate credibility model is extended to allow for the age of claims to influence the estimation of future claims. The model is applied to data from a portfolio of commercial lines of business.
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- Copyright © ASTIN Bulletin 2008
Footnotes
University of Aarhus and Royal & SunAlliance, Denmark.
University of Barcelona, Spain. Thanks are given to the Spanish Ministerio de Educacion y Ciencia, FEDER grant SEJ2007-63298.
University of Copenhagen and Royal & SunAlliance, Denmark.
University of Copenhagen, Denmark.
Cass Business School, City University, United Kingdom.
All authors would like to thank two anonymous referees whom kindly suggested many improvements to an earlier draft.
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