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Credibility Using Copulas
over time. Hence, the copula accounts for the dynamic aspect of claims behavior. Let c(.) be the probability ... information in the distribution of claims, the dynamic dependencies and the associated explanatory variables ...- Authors: Edward Frees, PING WANG
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Bayesian methods; Modeling & Statistical Methods>Stochastic models