Porth, Lysa; Zhu, Wenjun; Tan, Ken Seng - In: Agricultural Finance Review 74 (2014), pp. 162-187
/methodology/approach – The generating process of the historical loss cost ratio's (LCR's) are reviewed, and the Erlang mixture distribution is … proposed. A modified credibility approach is developed based on the Erlang mixture distribution and the liability weighted LCR … sector in Canada is used to show that the Erlang mixture distribution captures the tails of the data more accurately compared …