Department Colloquium
Location: CL 435
Speaker: Himchan Jeong, Simon Fraser University
Title: Tweedie multivariate semi-parametric credibility with the exchangeable correlation
Abstract:
We propose a framework for determining credibility premiums for multiple coverages in a compound risk model with Tweedie distribution. The framework builds upon previous results on credibility premium and provides an explicit multivariate credibility premium formula that is applicable to the Tweedie family assuming that the unobserved heterogeneity for the multiple coverage have the common correlation. The practical applicability of the proposed framework is evaluated through simulation and empirical analysis using the LGPIF dataset, which includes claims and policy characteristics data for various types of coverages observed over time. The findings suggest that the proposed framework can be useful in ratemaking practice by incorporating a non-trivial dependence structure among the multiple types of claims.Event Details
March 14, 2025
3:30 PM - 4:30 PM
Colloquium, Statistics