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Indexed by:期刊论文

Date of Publication:2014-03-19

Journal:COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

Included Journals:SCIE、EI、Scopus

Volume:43

Issue:6

Page Number:1222-1233

ISSN No.:0361-0926

Key Words:Copula; Convex combination; Credibility; EM algorithm; Longitudinal data; 62E10; 60C05

Abstract: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.