Using Convex Combination of Copulas and EM Algorithm for Credibility

作者：Song, Lixin; Lu, Dawei^*; Liu, Fang

来源：Communications in Statistics - Theory and Methods, 2014, 43(6): 1222-1233.

DOI：10.1080/03610926.2012.668604

• Copula
• Convex combination
• Credibility
• EM algorithm
• Longitudinal data
• 62E10
• 60C05

In this article, using longitudinal data, we develop the theory of credibility by copula model. The convex combination of copulas is used to describe the dependencies among claims. Finally, for comparing with the results of a single copula, using EM algorithm, some simulations of Massachusetts automobile claims are presented.

• 出版日期2014-3-19
• 单位大连理工大学