6 citations · 12 across the 11 of their papers we have counts for
16 papers
Can a small additional claim lower the premium? Credibility orders for collective risk models
Jihyun Park, Jieun Kim, Taehan Bae +1
The collective risk model is a fundamental framework in insurance ratemaking for modeling aggregate losses by combining claim frequency and claim severity components. A key structu…
A Classification of Observation-Driven State-Space Count Models for Panel Data
Jae Youn Ahn, Himchan Jeong, Yang Lu +1
State-space models are widely used in many applications. In the domain of count data, one such example is the model proposed by Harvey and Fernandes (1989). Unlike many of its para…
A simple Bayesian state-space model for the collective risk model
Jae Youn Ahn, Himchan Jeong, Yang Lu
The collective risk model (CRM) for frequency and severity is an important tool for retail insurance ratemaking, macro-level catastrophic risk forecasting, as well as operational r…
On the ordering of credibility factors
Jae Youn Ahn, Himchan Jeong, Yang Lu
Traditional credibility analysis of risks in insurance is based on the random effects model, where the heterogeneity across the policyholders is assumed to be time-invariant. One p…
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)…
A copula transformation in multivariate mixed discrete-continuous models
Jae Youn Ahn, Sebastian Fuchs, Rosy Oh
Copulas allow a flexible and simultaneous modeling of complicated dependence structures together with various marginal distributions. Especially if the density function can be repr…