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q-fin.RM2021
Multivariate matrix-exponential affine mixtures and their applications in risk theory
Eric C. K. Cheung, Oscar Peralta, Jae-Kyung Woo
In this paper, a class of multivariate matrix-exponential affine mixtures with matrix-exponential marginals is proposed. The class is shown to possess various attractive properties…
stat.AP2021
Optimal relativities in a modified Bonus-Malus system with long memory transition rules and frequency-severity dependence
Jae Youn Ahn, Eric C. K. Cheung, Rosy Oh +1
In the classical Bonus-Malus System (BMS) in automobile insurance, the premium for the next year is adjusted according to the policyholder's claim history (particularly frequency)…