Claim dependence with common effects in credibility models with error uniform dependence

Ebrahimzadeh Mahdi, Noor Akma Ibrahim, Abdul Aziz Jemain, Adem Kilicman

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

In classical Bühlmann credibility models, observations are made of a group of risks selected from a population and claims are assumed to be independent between different risks. Further, for each individual, past claims have the same mean and variance and are independent and identically distributed conditional on the risk parameter. However, there are situations in practical applications that these assumptions may be violated including the possibility of relationship among the risks and conditional dependence over time. Thus, this warrants a more appropriate approach to handle such situations. In this paper, we extend the Bühlmann and Bühlmann-Straub credibility models to account for not only a certain uniform conditional dependence for claim amounts for each individual risk, but also a special type of dependence between risks induced by common effects. We further give illustrative examples to show the influence of the error uniform dependence when these common effects have Normal distributions.

Original languageEnglish
Pages (from-to)1551-1560
Number of pages10
JournalWorld Applied Sciences Journal
Volume27
Issue number12
DOIs
Publication statusPublished - 2013

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Credibility
Model
Identically distributed
Gaussian distribution

Keywords

  • Bühlmann model
  • Bühlmann-straub models
  • Common effects
  • Credibility models
  • Error uniform dependence
  • Influence of dependence

ASJC Scopus subject areas

  • General

Cite this

Claim dependence with common effects in credibility models with error uniform dependence. / Mahdi, Ebrahimzadeh; Ibrahim, Noor Akma; Jemain, Abdul Aziz; Kilicman, Adem.

In: World Applied Sciences Journal, Vol. 27, No. 12, 2013, p. 1551-1560.

Research output: Contribution to journalArticle

Mahdi, Ebrahimzadeh ; Ibrahim, Noor Akma ; Jemain, Abdul Aziz ; Kilicman, Adem. / Claim dependence with common effects in credibility models with error uniform dependence. In: World Applied Sciences Journal. 2013 ; Vol. 27, No. 12. pp. 1551-1560.
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