Using Convex Combination of Copulas and EM Algorithm for Credibility |
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| Authors: | Lixin Song Fang Liu |
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| Affiliation: | School of Mathematical Sciences , Dalian University of Technology , Liaoning , China |
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| Abstract: | ![]()
In this article, using longitudinal data, we develop the theory of credibility by copula model. The convex combination of copulas is used to describe the dependencies among claims. Finally, for comparing with the results of a single copula, using EM algorithm, some simulations of Massachusetts automobile claims are presented. |
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| Keywords: | Copula Convex combination Credibility EM algorithm Longitudinal data |
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