Credibility Using Copulas

By Edward W. Frees, Ping Wang. 2005

99 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3557d50525a5087d7b39de553a7b21609aa51f7d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Management Science and Operations Research

1. Jun Yan
2. Emiliano A. Valdez
3. Edward W. Frees
4. Lu Yang
5. Gee Y. Lee
6. Chandra R. Bhat
7. Naveen Eluru
8. Lluís Bermúdez

In Statistics and Probability

1. Naveen Eluru
2. Jun Yan
3. Emiliano A. Valdez
4. Lu Yang
5. Gee Y. Lee
6. Edward W. Frees
7. Chandra R. Bhat
8. Kenneth Train

Citations in the corpus

• Multivariate Frequency-Severity Regression Models in Insurance (2016, methodology): “In the actuarial literature, the t-copula and the Gaussian copula with GLMs as marginal distributions were used to develop credibility predictions in [19].”
• Hierarchical Insurance Claims Modeling (2008, methodology): “exp(�1z) cj�jB(�1;�2)[1 + exp(z)] � 1+�2 ; c � 0; ( 2 )”
• Enjoy the Joy of Copulas: With a Package copula (2007, methodology): “When maximum likelihood method is used, the general practice is to fit the data with all the candidate copulas and choose the ones with the highest likelihood (Frees and Wang 2005).”
• Copula-Based Approach to Accommodate Residential Self-Selection Effects in Travel Behavior Modeling (2009, background): “et al., 2004, Frees and Wang, 2005, Genest and Favre, 2007, Grimaldi and Serinaldi, 2006, Smith,”