2 citations · 6 across the 9 of their papers we have counts for
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stat.AP2021
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…
stat.AP2021★ 1 cited
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…
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)…