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Document Details : Title: Multivariate Latent Risk Subtitle: A Credibility Approach Author(s): ENGLUND, Martin , GUILLÉN, Montserrat , GUSTAFSSON, Jim , NIELSEN, Lars Hougaard , NIELSEN, Jens Perch Journal: ASTIN Bulletin Volume: 38 Issue: 1 Date: May 2008 Pages: 137-146 DOI: 10.2143/AST.38.1.2030406 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. |
