2 citations · 4 across the 5 of their papers we have counts for
9 papers
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…
On a Multi-Year Microlevel Collective Risk Model
Rosy Oh, Himchan Jeong, Jae Youn Ahn +1
For a typical insurance portfolio, the claims process for a short period, typically one year, is characterized by observing frequency of claims together with the associated claims…
Designing a Bonus-Malus system reflecting the claim size under the dependent frequency-severity model
Rosy Oh, Joseph H. T. Kim, Jae Youn Ahn
In auto insurance, a Bonus-Malus System (BMS) is commonly used as a posteriori risk classification mechanism to set the premium for the next contract period based on a policyholder…
Predictive Risk Analysis in Collective Risk Model: Choices between Historical Frequency and Aggregate Severity
Rosy Oh, Youngju Lee, Dan Zhu +1
Typical risk classification procedure in insurance is consists of a priori risk classification determined by observable risk characteristics, and a posteriori risk classification w…
Double-Counting Problem of the Bonus-Malus System
Rosy Oh, Kyung Suk Lee, Sojung C. Park +1
The bonus-malus system (BMS) is a widely used premium adjustment mechanism based on policyholder's claim history. Most auto insurance BMSs assume that policyholders in the same bon…
On Copula-based Collective Risk Models
Rosy Oh, Jae Youn Ahn, Woojoo Lee
Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches…