Yeo, Keng Leong, Actuarial Studies, Australian School … - 2006
Existing credibility models have mostly allowed for one source of claim dependence only, that across time for an …. For the case of Normal common effects, we are able to derive explicit formulas for the credibility premium. This takes the … constructing credibility premiums. Specifically, we utilise copulas to model the dependence across time for an individual risk or …