2 citations · 5 across the 7 of their papers we have counts for
4 papers · 1 filter
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…