New Variance Papers Published
Two new papers have been published on the Variance website.
Generalized Linear Mixed Models for Dependent Compound Risk Models
By Himchan Jeong, Emiliano A. Valdez, Jae Youn Ahn, Sojung Carol Park
This paper provides empirical evidence of a positive dependence between claim frequency and claim severity when using random effects within a generalized linear mixed model (GLMM) framework.
Limited-Fluctuation Credibility under Uncertain Priors
By Michael Baron, Shangyuan Ye, Bhargab Chattopadhyay
Recognizing uncertainty not only in the observed data (subject experience) but also in the prior distribution (relevant experience), the classical credibility is re-evaluated by a re-defined limited fluctuation approach.